Estimation for autoregressive models with GARCH(1,1) error via optimal estimating function

Abstract

Optimal estimating functions for a crass of autoregressive models with GARCH(1,1) error are discussed. The asymptotic properties of the estimator as the solution of the optimal estimating equation are investigated for the models. We have also some simulation results which suggest that the proposed optimal estimators have smaller sample variances than those of the conditional least-squares estimators under the heavy-tailed error distributions