Recursive estimation of GARCH processes
نویسندگان
چکیده
ARCH processes and their extensions known as GARCH processes are widely accepted for modelling financial time series, in particular stochastic volatility processes. The offline estimation of ARCH and GARCH processes have been analyzed under a variety of conditions in the literature. The main contribution of this paper is a rigorous convergence analysis of a recursive estimation method for GARCH processes with large stability margin under reasonable technical conditions. The main tool in the convergence analysis is an appropriate modification of the theory developed by Benveniste, Métivier and Priouret.
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