Econometrics II

We have defined and been occupied with the definition of the GARCH(1,1) process, the existence and uniqueness of a stationary and ergodic solution to the relevant system of recursion, the issue of the weak stationarity of the solution, and the issue of the ARMA(1,1) representation of the squared process under the appropriate restrictions. You can find notes on this issue here. We have also begun our occupation on the limit theory of the OLSE for the autoregressive parameter in the context of an appropriate AR(1)-ARCH(1) model, notes for which you can find here.