Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes

DOI10.1016/j.jspi.2010.06.026zbMath1197.62128OpenAlexW2089869042MaRDI QIDQ710816

Tawfik Hamadeh, Jean-Michel Zakoian

Publication date: 22 October 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.06.026

zbMATH Keywords

maximum likelihood estimationleast-squaresconditional heteroskedasticitythreshold GARCHpower-transformed volatility

Mathematics Subject Classification ID

Related Items (24)

Fourier-type estimation of the power GARCH model with stable-Paretian innovations ⋮ Statistical inference for mixture GARCH models with financial application ⋮ Portmanteau test for the asymmetric power GARCH model when the power is unknown ⋮ Risk forecasting in (T)GARCH models with uncorrelated dependent innovations ⋮ Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified ⋮ Power periodic threshold GARCH model: Structure and estimation ⋮ Inference in nonstationary asymmetric GARCH models ⋮ Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations ⋮ QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS ⋮ LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS ⋮ Testing for local covariate trend effects in volatility models ⋮ A residual bootstrap for conditional value-at-risk ⋮ Bayesian analysis of periodic asymmetric power GARCH models ⋮ Conditional asymmetry in power ARCH\((\infty)\) models ⋮ Asymptotics of Cholesky GARCH models and time-varying conditional betas ⋮ Semiparametric efficient adaptive estimation of the GJR-GARCH model ⋮ Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients ⋮ QML estimation of asymmetric Markov switching GARCH(\(p,q\)) processes ⋮ Asymptotic normality of the MLE in the level-effect ARCH model ⋮ Estimation of multivariate asymmetric power GARCH models ⋮ Necessary and sufficient conditions for the identifiability of observation‐driven models ⋮ QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES ⋮ Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes ⋮ Hybrid quantile estimation for asymmetric power GARCH models

Cites Work

• Estimation and tests for power-transformed and threshold GARCH models
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Stationarity of GARCH processes and of some nonnegative time series
• GARCH processes: structure and estimation
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Generalized autoregressive conditional heteroscedasticity
• Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
• QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A Class of Nonlinear Arch Models
• The Lindeberg-Levy Theorem for Martingales

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