Minimum Hellinger Distance Estimation of a Univariate GARCH Process

  •  Roger Kadjo    
  •  Ouagnina Hili    
  •  Aubin N'dri    


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.

This work is licensed under a Creative Commons Attribution 4.0 License.
  • ISSN(Print): 1916-9795
  • ISSN(Online): 1916-9809
  • Started: 2009
  • Frequency: bimonthly

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