QMLE OF THE GENERAL PERIODIC GARCH MODELS

被引：0

作者：

Ghezal, Ahmed ^{[1
]}

Zemmouri, Imane ^{[2
]}

机构：

[1] Univ Ctr Mila, Dept Math & Comp Sci, Mila, Algeria

[2] Univ Annaba, Dept Math, Elhadjar 23, Annaba, Algeria

来源：

JORDAN JOURNAL OF MATHEMATICS AND STATISTICS | 2024年 / 17卷 / 01期

关键词：

GARCH model and its extension; strict stationarity; QMLE; ergodicity; strong consistency; asymptotic normality; MAXIMUM-LIKELIHOOD-ESTIMATION; GARCH PROCESSES; STATIONARITY;

D O I：

10.47013/17.1.3

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this article, we study the necessary and sufficient conditions that guarantee the strict stationarity of general periodic generalized autoregressive conditional heteroskedasticity models (in the periodic sense). We also obtain conditions for the existence of finite higher-order moments under general and tractable assumptions. We propose the quasi-maximum likelihood estimation of general periodic generalized autoregressive conditional heteroskedasticity parameters and derive their asymptotic properties. We demonstrate the strong consistency and asymptotic normality of the quasi-maximum likelihood estimation in special cases.

引用

页码：45 / 64

页数：20

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