Hafner, Christian
[UCL]
Preminger, Arie
[UCL]
This paper investigates the asymptotic theory for a factor GARCH model. Sufficient conditions for strict stationarity, existence of certain moments, geometric ergodicity and - mixing with exponential decay rates are established. These conditions allow for volatility spill-over 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.
Bibliographic reference |
Hafner, Christian ; Preminger, Arie. Asymptotic theory for a factor GARCH model. CORE Discussion Papers ; 2006/71 (2006) |
Permanent URL |
http://hdl.handle.net/2078.1/4524 |