MINIMUM HELLINGER DISTANCE ESTIMATION OF MULTIVARIATE GARCH PROCESSES
In this paper, we determine the minimum Hellinger distance estimator (MHDE) of stationary multivariate GARCH processes. We construct an estimator of the parameters based on the minimum Hellinger distance (MHD) method. Under conditions which ensure the α-mixing of the multivariate GARCH processes, we establish the almost sure convergence and the asymptotic normality of the estimator.
Hellinger distance estimator, multivariate GARCH processes, α-mixing processes, consistency, asymptotic normality.
