A Closed-form Estimator for the GARCH ( 1 , 1 )-Model

@inproceedings{Kristensen2005ACE,
  title={A Closed-form Estimator for the GARCH ( 1 , 1 )-Model},
  author={Dennis Kristensen and Oliver Linton},
  year={2005}
}
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 optimisation procedures or the choice of initial values of the conditional variance process. We derive the asymptotic properties of the estimator, showing T ( 1)= consistency for some 2 (1; 2) when the 4th moment exists and p T -asymptotic normality when… CONTINUE READING
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