A Tour in the Asymptotic Theory of GARCH Estimation

  • Christian FrancqEmail author
  • Jean-Michel Zakoïan


The main estimation methods of the univariate GARCH models are reviewed. A special attention is given to the asymptotic results and the quasi-maximum likelihood method.


Asymptotic Theory Asymptotic Normality GARCH Model ARMA Model Arch Model 
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© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  1. 1.University Lille IIIEQUIPPE-GREMARS, Domaine du Pont de boisVilleneuve d’Ascq CedexFrance
  2. 2.University Lille IIIEQUIPPE-GREMARS, and CRESTMalakoff CedexFrance

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