Title

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

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.

This document is currently not available here.

Share

COinS