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- W2047818254 abstract "The unconditional variance of various GARCH-type models is a function h(θ) of the parameter vector θ which is estimated by θ̂. For most models used in practice, closed-form expressions of h(·) have been found. On the contrary, the unconditional variance can be estimated by the sample variance σ̂2. This article establishes the asymptotic distributions of the differences σ̂2 − h(θ) and σ̂2 − h(θ̂) for broad classes of GARCH-type models. Even though both limit distributions are normal, the asymptotic variances are not equal. Potential practical consequences of these results are discussed." @default.
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- W2047818254 date "2006-08-09" @default.
- W2047818254 modified "2023-09-25" @default.
- W2047818254 title "Sample and Implied Volatility in GARCH Models" @default.
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- W2047818254 doi "https://doi.org/10.1093/jjfinec/nbl002" @default.
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