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ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL

Published online by Cambridge University Press:  01 April 2009

Christian M. Hafner*
Affiliation:
Université catholique de Louvain
Arie Preminger
Affiliation:
University of Haifa
*
*Address correspondence to Christian M. Hafner, Institut de statistique and CORE, Université catholique de Louvain, Voie du Roman Pays 20, B-1348, Louvain-la-Neuve, Belgium; e-mail: christian.hafner@uclouvain.be.

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.

Type
ARTICLES
Copyright
Copyright © Cambridge University Press 2009

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References

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