Minimum Hellinger Distance Estimation of a Univariate GARCH Process
Roger Kadjo, Ouagnina Hili, Aubin Yao N’Dri · Journal of Mathematics Research · 2017
In this paper, we determine the Minimum Hellinger Distance estimator of a stationary GARCH process. We construct an estimator of the parameters based on the minimum Hellinger distance method. Under conditions which ensure the $\phi$-mixing of the GARCH process, we establish the almost sure convergence and the asymptotic normality of the estimator.