Parameters Estimation of a Asymmetric GARCH Model
Pan Bao-guo · Jilin Normal University Journal · 2009
The parameters estimation of the asymmetric GARCH Model is Usually carried out by quasi-maximum likehood estimator,the results about the consistency and asymptotic normality of the estimator have been found in many papers.A new estimation method of the model is proposed,which is called as a weighted quasi-maximum likelihood estimator.The consistency and asymptotic normality of the estimator of the asymmetric GARCH Model are proved under some conditions.