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Sammanfattning

In this paper, we investigate the asymptotic properties of the quasi-maximum likelihood estimator (quasi-MLE) for GARCH(1,2) model. Consistency of the global quasi-MLE and asymptotic normality of the local quasi-MLE are obtained, which extend the results in Lee and Hansen (1994) for GARCH(1,1). Two sets of financial data, stock returns in Standard and Poor's 500 Index and Shanghai Stock Exchange Index, are analyzed as applications. It is shown that more complicated models than GARCH(1,1) for describing the variance process are needed for daily data

Nyckelord

GARCH; quasi-maximum likehood estimator; consistency; asymptotic normality; S&P 500; SEE

Publicerad i

Research report (Centre of Biostochastics)
2003, volym: 2003, nummer: 5, sidor: 1-28
Utgivare: SLU

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UKÄ forskningsämne

Jordbruksvetenskap

Permanent länk till denna sida (URI)

https://res.slu.se/id/publ/134