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.
| Document 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 > Institut für Mathematik |
| DDC-classification: | 510 Mathematics |
| Controlled Keywords: | GARCH-Prozess |
| Series: | Beiträge zur Statistik > Beiträge |
