| Автор | Kristensen, Dennis |
| Автор | Linton, Oliver |
| Дата выпуска | 2006 |
| dc.description | We propose a closed-form estimator for the linear GARCH(1,1) model. The estimator has the advantage over the often used quasi-maximum likelihood estimator (QMLE) that it can be easily implemented and does not require the use of any numerical optimization procedures or the choice of initial values of the conditional variance process. We derive the asymptotic properties of the estimator, showing T<sup>(κ−1)/κ</sup>-consistency for some κ ∈ (1,2) when the fourth moment exists and -asymptotic normality when the eighth moment exists. We demonstrate that a finite number of Newton–Raphson iterations using our estimator as starting point will yield asymptotically the same distribution as the QMLE when the fourth moment exists. A simulation study confirms our theoretical results.The first authorʼs research was supported by the Shoemaker Foundation. The second authorʼs research was supported by the Economic and Social Science Research Council of the United Kingdom. |
| Издатель | Cambridge University Press |
| Название | A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL |
| DOI | 10.1017/S0266466606060142 |
| Electronic ISSN | 1469-4360 |
| Print ISSN | 0266-4666 |
| Журнал | Econometric Theory |
| Том | 22 |
| Первая страница | 323 |
| Последняя страница | 337 |
| Аффилиация | Kristensen Dennis; University of Wisconsin-Madison; University of Wisconsin-Madison |
| Аффилиация | Linton Oliver; London School of Economics; London School of Economics |
| Выпуск | 2 |
