Quasi-maximum likelihood estimation of GARCH with student distributed noise

被引：1

作者：

Djeddour-Djaballah, K. ^{[1
]}

Kerar, L. ^{[1
]}

机构：

[1] Univ Sci & Technol Algiers, Labo MSTD Fac Math, Algiers, Algeria

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2021年 / 50卷 / 05期

关键词：

Asymptotic normality; consistency; GARCH process;

D O I：

10.1080/03610918.2019.1580726

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 establish the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) for a GARCH process with Student marginal distribution. We first give a necessary and sufficient condition for the existence of a strictly stationary solution for the GARCH equation. Numerical simulations elaboreted the confirmation of the consistency of estimate.

引用

页码：1249 / 1271

页数：23

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