Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

被引：358

作者：

Francq, C

Zakoïan, JM

机构：

[1] Univ Lille 3, GREMARS, F-59653 Villeneuve Dascq, France

[2] Univ Lille 3, GREMARS, F-92245 Malakoff, France

[3] Univ Lille 3, CREST, F-92245 Malakoff, France

来源：

BERNOULLI | 2004年 / 10卷 / 04期

关键词：

ARMA; asymptotic normality; consistency; GARCH; heteroskedastic time series; maximum likelihood estimation;

D O I：

10.3150/bj/1093265632

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：

We prove the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator of the parameters of pure generalized autoregressive conditional heteroscedastic (GARCH) processes, and of autoregressive moving-average models with noise sequence driven by;a GARCH model. Results are obtained under mild conditions.

引用

页码：605 / 637

页数：33

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