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To incorporate the realized volatility in stock return, Hansen et al. (J Appl Econ 27:877–906, 2012) proposed a RealGARCH model and conjectured some theoretical properties about the quasi-maximum likelihood estimation… Click to show full abstract
To incorporate the realized volatility in stock return, Hansen et al. (J Appl Econ 27:877–906, 2012) proposed a RealGARCH model and conjectured some theoretical properties about the quasi-maximum likelihood estimation (QMLE) for parameters in a log-linear RealGARCH model without rigorous proof. Under Gaussian errors, this paper derives the detailed proof of the theoretical results including consistency and asymptotic normality of the QMLE, hence it solves the conjectures in Hansen et al. (J Appl Econ 27:877–906, 2012).
Journal Title: Statistical Papers
Year Published: 2018
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