Minimum Hellinger Distance Estimation of a Univariate GARCH Process
- Roger Kadjo
 - Ouagnina Hili
 - Aubin N'dri
 
Abstract
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.
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                     - DOI:10.5539/jmr.v9n3p80
 
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