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ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE

Published online by Cambridge University Press:  06 June 2003

István Berkes ,
Lajos Horváth  and
Piotr Kokoszka
István Berkes
Affiliation:
Hungarian Academy of Sciences
Lajos Horváth
Affiliation:
University of Utah
Piotr Kokoszka
Affiliation:
Utah State University
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Abstract

We propose an estimator for the maximal moment exponent of a GARCH(1,1) sequence. We establish its consistency asymptotic normality with rate n−1/2. Finite sample properties are investigated by means of a small simulation study.The research for this paper was partially supported by NSF grant INT-0223262. István Berkes and Lajos Horváth were supported by the Hungarian National Foundation for Scientific Research, grant T 29621. Piotr Kokoszka and Lajos Horváth were supported by NATO grant PST.CLG.977607.

Type
Research Article
Information
Econometric Theory , Volume 19 , Issue 4 , August 2003 , pp. 565 - 586
Copyright
© 2003 Cambridge University Press

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References

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