Title: Quasi-maximum likelihood estimation of GARCH with student distributed noise
Abstract: We establish the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) for a GARCH process with Student marginal distribution. We first give a necessary and sufficient condition for the existence of a strictly stationary solution for the GARCH equation. Numerical simulations elaboreted the confirmation of the consistency of estimate.
Publication Year: 2019
Publication Date: 2019-06-13
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 2
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