GARCH (1,1) Models with Exogenously-Driven Volatility: Structure and Estimation
Zakoïan, Jean-Michel; Regnard, Nazim (2008), GARCH (1,1) Models with Exogenously-Driven Volatility: Structure and Estimation. https://basepub.dauphine.fr/handle/123456789/2285
TypeDocument de travail / Working paper
Series titleCahiers de la Chaire Finance et Développement Durable
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Abstract (EN)This paper considers GARCH(1,1) models in which the time-varying coeﬃcients are functions of the realizations of an exogenous stochastic process. Time series generated by this model are in general nonstationary. Necessary and suﬃcient conditions are given for the existence of non-explosive solutions, and for the existence of moments of these solutions. The asymptotic properties of the quasi-maximum likelihood estimator are derived under mild assumptions and its ﬁnite sample properties are investigated by simulations.
Subjects / KeywordsQuasi-Maximum Likelihood Estimation; Strong Consistency; Time-Varying Models; Asymptotic Normality; Existence of Nonexplosive Solutions; GARCH; Nonstationary Processes
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