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M-ESTIMATION IN GARCH MODELS

Published online by Cambridge University Press:  09 July 2008

Kanchan Mukherjee
Kanchan Mukherjee*
Affiliation:
Lancaster University
*
Address correspondence to Kanchan Mukherjee, Department of Mathematics and Statistics, Lancaster University, Lancaster LA1 4YF, United Kingdom; e-mail: k.mukherjee@lancaster.ac.uk
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Abstract

This paper derives asymptotic normality of a class of M-estimators in the generalized autoregressive conditional heteroskedastic (GARCH) model. The class of estimators includes least absolute deviation and Huber's estimator in addition to the well-known quasi maximum likelihood estimator. For some estimators, the asymptotic normality results are obtained only under the existence of fractional unconditional moment assumption on the error distribution and some mild smoothness and moment assumptions on the score function.

Type
Research Article
Information
Econometric Theory , Volume 24 , Issue 6 , December 2008 , pp. 1530 - 1553
Copyright
Copyright © Cambridge University Press 2008

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