An Asymptotic Expansion in the Garch(1,1) Model

Authors

Oliver B. Linton

Document Type

Discussion Paper

Publication Date

3-1-1996

CFDP Number

1118

CFDP Pages

35

Abstract

We develop order T -1 asymptotic expansions for the quasi-maximum likelihood estimator (QMLE) and a two step approximate QMLE in the GARCH(1,1) model. We calculate the approximate mean and skewness and hence the Edgeworth-B distribution function. We suggest several methods of bias reduction based on these approximation.

Recommended Citation

Linton, Oliver B., "An Asymptotic Expansion in the Garch(1,1) Model" (1996). Cowles Foundation Discussion Papers. 1361.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1361