erc/metu
INTERNATIONAL CONFERENCE IN ECONOMICS  IV
September 13-16, 2000, Ankara

Asymtotic Normality of the Maximum Likelihood Estimators of a Multivariate Random Walk with Drift Model Having GARCH(1,1) Errors

Ruhi Tuncer (Glatasaray University)

Abstract

We prove the asymtotycic normality of the maximum likelihood estimators of a multivariate Random Walk with Drift model having GARCH(1,1) errors under the condition that the fourh order moments of the multyvariate GARCH process exist. The convergence in probability of the process in question can easily be established using the techniques in Jeantheau (1998) or Tuncer (1999). Condition under which the fourth order moments of a multivariate GARCH process are presented in Tuncer (1995).

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