Estimation of the parameters of symmetric stable ARMA and ARMA-GARCH models

被引：4
|
作者：
Sathe, Aastha M. [1 ]
Upadhye, N. S. [1 ]
机构：
[1] Indian Inst Technol Madras, Dept Math, Chennai 600036, Tamil Nadu, India
来源：
JOURNAL OF APPLIED STATISTICS | 2022年 / 49卷 / 11期
关键词：
ARMA– GARCH models; stable distributions; parameter estimation; simulation;
D O I：
10.1080/02664763.2021.1928019
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this article, we first propose the modified Hannan-Rissanen Method for estimating the parameters of autoregressive moving average (ARMA) process with symmetric stable noise and symmetric stable generalized autoregressive conditional heteroskedastic (GARCH) noise. Next, we propose the modified empirical characteristic function method for the estimation of GARCH parameters with symmetric stable noise. Further, we show the efficiency, accuracy and simplicity of our methods with Monte-Carlo simulation. Finally, we apply our proposed methods to model the financial data.
引用
收藏
页码：2964 / 2980
页数：17
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