%0 Generic
%A Maercker, Gisela
%A Moser, Martin
%C Heidelberg
%D 1999
%F heidok:20781
%R 10.11588/heidok.00020781
%T Yule-Walker Type Estimators in GARCH(1,1) Models: Asymptotic Normality and Bootstrap
%U https://archiv.ub.uni-heidelberg.de/volltextserver/20781/
%X 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.