Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 1, 2008 erstellt
Description:
This paper presents a closed-form asymptotic variance-covariance matrix of the Quasi-Maximum Likelihood Estimator (QMLE) for the GARCH(1,1) model. The robust 'sandwich' asymptotic variance matrix is shown to be a product of the function of higher moments of innovation and the inverse of negative expected Hessian, whose closed-form in terms of only model parameters is then derived via a local approximation. Taking inverse of it, the variance-covariance matrix is readily obtained. A Monte Carlo simulation experiment demonstrates that this analytical formula works well for both normal and non-normal innovations in admissible parameter regions