Title: Asymptotic normality of the QML estimator of the EGARCH(1,1) model
Authors: Dimitra Kyriakopoulou - Universite Catholique de Louvain (Belgium) [presenting]
Abstract: The aim is to investigate the asymptotic properties of the quasi-maximum likelihood estimator (QMLE) for the EGARCH model. Sufficient conditions under which the EGARCH(1,1) processes have stationary first and second order variance derivatives, and the expectation of the supremum norm of the second order log-likelihood derivative is finite are established. The existence of such moment bounds permits the establishment of the CLT of the score and the uniform SLLN of the Hessian, so that the asymptotic normality of the QML estimators is proved.