AN ASYMPTOTIC-EXPANSION IN THE GARCH(1,1) MODEL

Authors
LINTON O
Citation
O. Linton, AN ASYMPTOTIC-EXPANSION IN THE GARCH(1,1) MODEL, Econometric theory, 13(4), 1997, pp. 558-581
Citations number
46
Categorie Soggetti
Economics,"Social Sciences, Mathematical Methods
Journal title
Econometric theory → ACNP
ISSN journal
02664666
Volume
13
Issue
4
Year of publication
1997
Pages
558 - 581
Database
ISI
SICI code
0266-4666(1997)13:4<558:AAITGM>2.0.ZU;2-3
Abstract
We develop order T-1 asymptotic expansions for the quasi-maximum likel ihood estimator (QMLE) and a two-step approximate QMLE in the GARCH(1, 1) model. We calculate the approximate mean and skewness and, hence, t he Edgeworth-B distribution function. We suggest several methods of bi as reduction based on these approximations.