42 KB121 KB25 KB200420242005Posedel, Petra15 straništevilka:2letnik:2str. 243-257ISSN:1854-0023ISSN:1854-0031COBISSID:24315997URN:URN:NBN:SI:doc-ZZX74WKMenFakulteta za družbene vedeMetodološki zvezkiekonometrični modeliekonometrijaGARCH modelmatematični modeliModeliModelsProperties and estimation of GARCH(1,1) model|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 conditional 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 GARCH(1,1) model. A bounded conditional fourth moment of the rescaled variable (the ratio of the disturbance to the conditional standard deviation) is sufficient for the result. Consistent estimation and asymptotic normality are demonstrated, as well as consistent estimation of the asymptotic covariance matrixTEXTznanstveno časopisjejournalsSlovenian National E-content AggregatorNational and University Library of SloveniaUniverza v Ljubljani, Fakulteta za družbene vede