ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL
研究了因子GARCH模型的渐近理论，给出了渐近稳定性和矩存在的充分条件，并证明了拟极大似然估计的强相合性和渐近正态性，适用于存在波动率溢出和积分GARCH的情况。
This paper investigates the asymptotic theory for a factor GARCH (generalized autoregressive conditional heteroskedasticity) model. Sufficient conditions for asymptotic stability and existence of moments are established. These conditions allow for volatility spillover and integrated GARCH. We then show the strong consistency and asymptotic normality of the quasi–maximum likelihood estimator (QMLE) of the model parameters. The results are obtained under the finiteness of the fourth-order moment of the innovations.