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A simple efficient GMM estimator of GARCH models

Author

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  • Skoglund, Jimmy

    () (Dept. of Economic Statistics, Stockholm School of Economics)

Abstract

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general framework of the GARCH(1,1)-M regression model.

Suggested Citation

  • Skoglund, Jimmy, 2001. "A simple efficient GMM estimator of GARCH models," SSE/EFI Working Paper Series in Economics and Finance 0434, Stockholm School of Economics.
  • Handle: RePEc:hhs:hastef:0434
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    Cited by:

    1. Todd, Prono, 2010. "Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 20034, University Library of Munich, Germany.
    2. Todd, Prono, 2009. "Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model," MPRA Paper 30994, University Library of Munich, Germany, revised 30 Jul 2011.

    More about this item

    Keywords

    GARCH; GARCH-M; efficient GMM;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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