IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v16y2000i05p692-728_16.html
   My bibliography  Save this article

Estimating Weak Garch Representations

Author

Listed:
  • Francq, Christian
  • Zakoïan, Jean-Michel

Abstract

The classical definitions of GARCH-type processes rely on strong assumptions on the first two conditional moments. The common practice in empirical studies, however, has been to test for GARCH by detecting serial correlations in the squared regression errors. This can be problematic because such autocorrelation structures are compatible with severe misspecifications of the standard GARCH. Numerous examples are provided in the paper. In consequence, standard (quasi-) maximum likelihood procedures can be inconsistent if the conditional first two moments are misspecified. To alleviate these problems of possible misspecification, we consider weak GARCH representations characterized by an ARMA structure for the squared error terms. The weak GARCH representation eliminates the need for correct specification of the first two conditional moments. The parameters of the representation are estimated via two-stage least squares. The estimator is shown to be consistent and asymptotically normal. Forecasting issues are also addressed.

Suggested Citation

  • Francq, Christian & Zakoïan, Jean-Michel, 2000. "Estimating Weak Garch Representations," Econometric Theory, Cambridge University Press, vol. 16(5), pages 692-728, October.
  • Handle: RePEc:cup:etheor:v:16:y:2000:i:05:p:692-728_16
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466600165041/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no

    Other versions of this item:

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:16:y:2000:i:05:p:692-728_16. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters). General contact details of provider: https://www.cambridge.org/ect .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.