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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