A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL

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Hybrid and Size-Corrected Subsampling Methods (2007, methodology): “The GARCH parameters are estimated by the closed-form estimator of Kristensen and Linton (2006).”
ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL (2009, methodology): “For the univariate GARCH model, GMM-type estimators based on the autoregressive moving average (ARMA) representation of the squared GARCH process also have been proposed; see, e.g., Baillie and Chung (2001), Kristensen and Linton (2006), and Storti (2006).”
Effects of outliers on the identification and estimation of GARCH models (2007, methodology): “Second, we consider the closed-form estimator proposed by Kristensen and Linton (2006) which is based on the Yule–Walker equations corresponding to the ARMA representation of squared observations. The robustness properties of the QML(3) estimator of the parameters of GARCH models have been analysed ”