COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 1118

An Asymptotic Expansion in the Garch(1,1) Model

Oliver Linton

March 1996

We develop order T^-1 asymptotic expansions for the quasi-maximum likelihood estimator (QMLE) and a two step approximate QMLE in the GARCH(1,1) model. We calculate the approximate mean and skewness and hence the Edgeworth-B distribution function. We suggest several methods of bias reduction based on these approximation.