currently I am working with GARCH Modells. And it came to my attention that for the parameter estimation Maximum Likelihood approaches are commonly used. However I was wondering why Least Squared approaches are not in use. And I came up with the following explanation from Rachev in Financial Econonmetrics:
Seems like due to this "strong condition" a Maximum Likelihood approach is more promising. Unfortunately I don't understand the condition. What does it mean and what are the implications? And why is the 8th-Moment important to an GARCH Modell?
Thanks a lot in advance, Clemens