image
Figure 7.2 Observed and fitted log-squared S&P 500 returns.

Ruiz (1994) shows that the QML estimator applied to Eq. (7.25), when υtIIDχ12image is replaced by υtIIDN(0,4.935)image, is consistent and asymptotically normal. However, the QML procedure is inefficient, as the method does not rely on the exact likelihood of lnRt2image. The approximation may occasionally ...

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