Quantile Regression Estimator for GARCH Models

被引：28
|
作者：
Lee, Sangyeol [1 ]
Noh, Jungsik [1 ]
机构：
[1] Seoul Natl Univ, Dept Stat, Seoul 151742, South Korea
来源：
SCANDINAVIAN JOURNAL OF STATISTICS | 2013年 / 40卷 / 01期
关键词：
argmin sequence; asymptotic normality; bracketing method; GARCH models; non-convex optimization; quantile regression; reparametrization method; strong consistency; value at risk; MAXIMUM LIKELIHOOD ESTIMATOR; AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY; ABSOLUTE DEVIATIONS ESTIMATION; INFINITE VARIANCE; ARCH MODELS; TIME-SERIES; INFERENCE; ERRORS; HETEROSKEDASTICITY; CONSISTENCY;
D O I：
10.1111/j.1467-9469.2011.00759.x
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 study the quantile regression estimator for GARCH models. We formulate the quantile regression problem by a reparametrization method and verify that the obtained quantile regression estimator is strongly consistent and asymptotically normal under certain regularity conditions. We also present our simulation results and a real data analysis for illustration.
引用
收藏
页码：2 / 20
页数：19
相关论文
共 50 条
  • [1] QUANTILE ESTIMATION OF REGRESSION MODELS WITH GARCH-X ERRORS
    Zhu, Qianqian
    Li, Guodong
    Xiao, Zhijie
    [J]. STATISTICA SINICA, 2021, 31 (03) : 1261 - 1284
  • [2] Value at Risk Forecasting Based on Quantile Regression for GARCH Models
    Lee, Sangyeol
    Noh, Jungsik
    [J]. KOREAN JOURNAL OF APPLIED STATISTICS, 2010, 23 (04) : 669 - 681
  • [3] A New Instrumental-Type Estimator for Quantile Regression Models
    Tao, Li
    Tai, Lingnan
    Qian, Manling
    Tian, Maozai
    [J]. MATHEMATICS, 2023, 11 (15)
  • [4] Composite quantile regression for GARCH models using high-frequency data
    Wang, Meng
    Chen, Zhao
    Wang, Christina Dan
    [J]. ECONOMETRICS AND STATISTICS, 2018, 7 : 115 - 133
  • [5] A quantile regression estimator for censored data
    Leng, Chenlei
    Tong, Xingwei
    [J]. BERNOULLI, 2013, 19 (01) : 344 - 361
  • [6] An alternative simple quantile regression estimator
    Zhang, Zhengyu
    Zhu, Pingfang
    [J]. ECONOMICS LETTERS, 2013, 118 (01) : 163 - 166
  • [7] A new estimator method for GARCH models
    R. N. Onody
    G. M. Favaro
    E. R. Cazaroto
    [J]. The European Physical Journal B, 2007, 57 : 487 - 493
  • [8] A new estimator method for GARCH models
    Onody, R. N.
    Favaro, G. M.
    Cazaroto, E. R.
    [J]. EUROPEAN PHYSICAL JOURNAL B, 2007, 57 (04): : 487 - 493
  • [9] An alternative estimator for the censored quantile regression model
    Buchinsky, M
    Hahn, JY
    [J]. ECONOMETRICA, 1998, 66 (03) : 653 - 671
  • [10] Conditional quantile analysis for realized GARCH models
    Kim, Donggyu
    Oh, Minseog
    Wang, Yazhen
    [J]. JOURNAL OF TIME SERIES ANALYSIS, 2022, 43 (04) : 640 - 665
12345