Serving the Quantitative Finance Community
QMLE GARCH
Hi everyone,I have a question regarding quasi maximum likelihood estimation in garch models.I know asymptotic properties are established for the conditional normal case and I have to use robust standard errors, e.g. Bollerslev & Wooldridge, White etc. So far so good.Here comes the question:Is there also a "general" asymptotic theory for distributions beside the normal? I'm using different distribtuions (t and GED) for estimation but I'm not sure which standard errors to use (robust o not)?Best regards,Martin