Abstract
We consider here heteroskedastic time series models, specifically from the family $GARCH(p,q)$, both on time domain and well as on the frequency domain. For the former we estimate the $(p+q)$-dimensional parameter through $M$-quantiles. On the latter, we have two situations. First we employ the discrete Fourier transform (DFT) to estimate the spectrum. Further, we discuss the cpestrum, d…