Small sample properties of \(\text{GARCH}(1,1)\) estimator under non-normality

DOI10.1016/S0165-1765(97)00072-4zbMath0899.90060OpenAlexW2015875335MaRDI QIDQ1391048

Jaesun Noh

Publication date: 22 July 1998

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(97)00072-4

zbMATH Keywords

hypothesis testingrobust statisticsGARCH models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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