Fourier–type estimation of the power garch model with stable–paretian innovations

Abstract

We consider the estimation of general power GARCH models with stable– Paretian innovations. Exploiting the simple structure of the conditional charac- teristic function of the observations driven by these models, we propose minimum distance estimation based on the empirical characteristic function of correspond- ing residuals. Consistency of the estimators is proved, and we obtain a singular asymptotic distribution which is concentrated on a hyperplane.