The efficiency of extimators of parameters in GARCH processes

István Berkes, Lajos Horváth

Research output: Contribution to journalArticle


We propose a class of estimators for the parameters of a GARCH(p,q) sequence. We show that our estimators are consistent and asymptotically normal under mild conditions. The quasi-maximum likelihood and the likelihood estimators are discussed in detail. We show that the maximum likelihood estimator is optimal. If the tail of the distribution of the innovations is polynomial, even a quasi-maximum likelihood estimator based on exponential density performs better than the standard normal density-based quasi-likelihood estimator of Lee and Hansen and Lumsdaine.
Original languageEnglish
Pages (from-to)S633-655
JournalThe Annals of Statistics
Publication statusPublished - 2004
Externally publishedYes


Dive into the research topics of 'The efficiency of extimators of parameters in GARCH processes'. Together they form a unique fingerprint.

Cite this