We prove the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator of the parameters of pure generalized autoregressive conditional heteroscedastic (GARCH) processes, and of autoregressive moving-average models with noise sequence driven by a GARCH model. Results are obtained under mild conditions.
No takes yet. Share an insight, caveat, or question.
Francq et al. (2004) studied this question.
Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context: