On the stationarity and existence of moments of the periodic EGARCH process

DOI10.1515/mcma-2023-2011OpenAlexW4385424368MaRDI QIDQ6085032

Walid Slimani, Ines Lescheb

Publication date: 2 December 2023

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2023-2011

zbMATH Keywords

momentsautocorrelation functionstationarityKurtosis coefficientperiodic EGARCH process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

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• On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity
• Strong consistency and asymptotic normality of least squares estimators for PGARCH and PARMA-PGARCH models
• Generalized autoregressive conditional heteroscedasticity
• On stationarity of the periodic AGARCH processes
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Asymptotic inference for periodic ARCH processes

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