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Yule-Walker Type Estimators in GARCH(1,1) Models: Asymptotic Normality and Bootstrap

Maercker, Gisela ; Moser, Martin

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Abstract

We investigate GARCH(1,1) processes and first prove their stability.Using the representation of the squared GARCH model as an ARMA model wethen consider Yule-Walker type estimators for the parameters of theGARCH(1,1) model and derive their asymptotic normality.We use a residual bootstrap to define bootstrap estimators for theYule-Walker estimates and prove the consistency of this bootstrapmethod. Some simulation results will demonstrate the small sample behaviour ofthe bootstrap procedure.

Item Type: Working paper
Place of Publication: Heidelberg
Date Deposited: 25 May 2016 13:12
Date: June 1999
Number of Pages: 30
Faculties / Institutes: The Faculty of Mathematics and Computer Science > Department of Applied Mathematics
Subjects: 510 Mathematics
Controlled Keywords: GARCH-Prozess
Schriftenreihe ID: Beiträge zur Statistik > Beiträge
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