An Asymptotic Expansion in the GARCH(l, 1) Model
研究了GARCH(1,1)模型中拟极大似然估计量的渐近展开，计算了近似均值和偏度，并提出了偏差缩减方法，对从事金融波动率建模的学者有参考价值。
We develop order T −1 asymptotic expansions for the quasi-maximum likelihood estimator (QMLE) and a two-step approximate QMLE in the GARCH(l,l) model. We calculate the approximate mean and skewness and, hence, the Edgeworth-B distribution function. We suggest several methods of bias reduction based on these approximations.