Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE

DOI10.1016/j.jeconom.2011.08.001zbMath1441.62692OpenAlexW2012817363MaRDI QIDQ738084

Christian Francq, Guillaume Lepage, Jean-Michel Zakoian

Publication date: 15 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.08.001

zbMATH Keywords

conditional heteroskedasticityquasi maximum likelihood estimationefficiency of estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (18)

MODELING NONSTATIONARY AND LEPTOKURTIC FINANCIAL TIME SERIES ⋮ Statistical inference for nonparametric GARCH models ⋮ Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified ⋮ Teaching size and power properties of hypothesis tests through simulations ⋮ Bootstrap specification tests for dynamic conditional distribution models ⋮ Generalized Gaussian quasi-maximum likelihood estimation for most common time series ⋮ Standard Laplace quasi-maximum likelihood estimator for GARCH processes ⋮ Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE ⋮ On the three‐step non‐Gaussian quasi‐maximum likelihood estimation of heavy‐tailed double autoregressive models ⋮ On dynamics of volatilities in nonstationary GARCH models ⋮ Risk-parameter estimation in volatility models ⋮ Semiparametric Time Series Models with Log‐concave Innovations: Maximum Likelihood Estimation and its Consistency ⋮ Consistent non-Gaussian pseudo maximum likelihood estimators ⋮ Root-\(T\) consistent density estimation in GARCH models ⋮ Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations ⋮ Adaptive quasi-maximum likelihood estimation of GARCH models with Student’stlikelihood ⋮ A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach ⋮ Testing the existence of moments for GARCH processes

Cites Work

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• ARMA MODELS WITH ARCH ERRORS
• Model Selection
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Adaptive Estimators and Tests of Stationary and Nonstationary Short- and Long-Memory ARFIMA–GARCH Models
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Pseudo‐likelihood estimation in ARCH models
• Inference in Arch and Garch Models with Heavy-Tailed Errors

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