Publications scientifiques
Emile Herve Ndoumbe
Eugène Kouassi* (Auteur correspondant)
Jean Marcelin Bosson Brou
Communication in Statistics- Theory and Methods
One provides in this paper the pseudo-likelihood estimator (PMLE) and asymptotic theory for the GARCH (1,1) process. Strong consistency of the pseudo-maximum-likelihood estimator (MLE) is established by appealing to conditions given in Jeantheau (1998) concerning the existence of a stationary and ergodic solution to the multivariate GARCH (p, q) process. One proves the asymptotic normality of the PMLE by appealing to martingales' techniques.
