Corpus ID: 14205949

Properties and Estimation of GARCH(1,1) Model

@inproceedings{Posedel2005PropertiesAE,
  title={Properties and Estimation of GARCH(1,1) Model},
  author={Petra Posedel},
  year={2005}
}
We study in depth the properties of the GARCH(1,1) model and the assumptions on the parameter space under which the process is stationary. In particular, we prove ergodicity and strong stationarity for the condition al variance (squared volatility) of the process. We show under which conditions higher order moments of the GARCH(1,1) process exist and conclude that GARCH processes are heavy-tailed. We investigate the sampling behavior of the quasi-maximum likelihood estimator of the Gaussian… Expand
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