Asymptotic theory for a factor GARCH model

Hafner, Christian;Preminger, Arie
(2009) Econometric Theory — Vol. 25, n° 2, p. 336-363 (2009)

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Abstract
This paper investigates the asymptotic theory for a factor GARCH (generalized autoregressive conditional heteroskedasticity) model. Sufficient conditions for asymptotic stability and existence of moments are established. These conditions allow for volatility spillover and integrated GARCH. We then show the strong consistency and asymptotic normality of the quasi–maximum likelihood estimator (QMLE) of the model parameters. The results are obtained under the finiteness of the fourth-order moment of the innovations.
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Hafner, C., & Preminger, A. (2009). Asymptotic theory for a factor GARCH model. Econometric Theory, 25(2), 336-363. https://doi.org/10.1017/S0266466608090117 (Original work published 2009)