Skip Navigation


Journal of Financial Econometrics Advance Access originally published online on August 23, 2006
Journal of Financial Econometrics 2006 4(4):617-635; doi:10.1093/jjfinec/nbl002
This Article
Right arrow Full Text
Right arrow Full Text (PDF)
Right arrow All Versions of this Article:
4/4/617    most recent
nbl002v1
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Horváth, L.
Right arrow Articles by Zitikis, R.
Right arrow Search for Related Content
Related Collections
Right arrow C13 - Estimation
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

© The Author 2006. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org.

Sample and Implied Volatility in GARCH Models

Lajos Horváth
     University of Utah

Piotr Kokoszka
     Utah State University

Ricardas Zitikis
     University of Western Ontario

Address correspondence to Piotr Kokoszka, Department of Mathematics and Statistics, Utah State University, 3900 Old Main Hill, Logan, UT 84322-3900, or e-mail: piotr.kokoszka{at}usu.edu.

The unconditional variance of various GARCH-type models is a function h({theta}) of the parameter vector {theta} which is estimated by Formula. For most models used in practice, closed-form expressions of h(·) have been found. On the contrary, the unconditional variance can be estimated by the sample variance Formula2. This article establishes the asymptotic distributions of the differences Formula2 – h({theta}) and Formula2 – h(Formula) for broad classes of GARCH-type models. Even though both limit distributions are normal, the asymptotic variances are not equal. Potential practical consequences of these results are discussed.

KEYWORDS: GARCH processes, statistical hypothesis test, volatility

Received July 12, 2005; revised July 17, 2006; accepted July 20, 2006


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.