Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

被引：354

作者：

Francq, C

Zakoïan, JM

机构：

[1] Univ Lille 3, GREMARS, F-59653 Villeneuve Dascq, France

[2] Univ Lille 3, GREMARS, F-92245 Malakoff, France

[3] Univ Lille 3, CREST, F-92245 Malakoff, France

来源：

BERNOULLI | 2004年 / 10卷 / 04期

关键词：

ARMA; asymptotic normality; consistency; GARCH; heteroskedastic time series; maximum likelihood estimation;

D O I：

10.3150/bj/1093265632

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 prove the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator of the parameters of pure generalized autoregressive conditional heteroscedastic (GARCH) processes, and of autoregressive moving-average models with noise sequence driven by;a GARCH model. Results are obtained under mild conditions.

引用

页码：605 / 637

页数：33

共 50 条

[1] Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
Aknouche, Abdelhakim
Bibi, Abdelouahab
[J]. JOURNAL OF TIME SERIES ANALYSIS, 2009, 30 (01) : 19 - 46
[2] A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
Zhu, Ke
[J]. JOURNAL OF TIME SERIES ANALYSIS, 2013, 34 (02) : 230 - 237
[3] Volatility Estimation of Multivariate ARMA-GARCH Model
Pengfei Xie
Jimin Ye
Junyuan Wang
[J]. Journal of Harbin Institute of Technology(New series), 2020, 27 (01) : 36 - 43
[4] Estimation of the parameters of symmetric stable ARMA and ARMA-GARCH models
Sathe, Aastha M.
Upadhye, N. S.
[J]. JOURNAL OF APPLIED STATISTICS, 2022, 49 (11) : 2964 - 2980
[5] Improving ARMA-GARCH forecasts for high frequency data with regime-switching ARMA-GARCH
Zhang, Xiaochu
Frey, Robert
[J]. JOURNAL OF COMPUTATIONAL ANALYSIS AND APPLICATIONS, 2015, 18 (04) : 727 - 751
[6] Uncertainty analysis of hydrological processes based on ARMA-GARCH model
Wang HongRui
Gao Xiong
Qian LongXia
Yu Song
[J]. SCIENCE CHINA-TECHNOLOGICAL SCIENCES, 2012, 55 (08) : 2321 - 2331
[7] Empirical likelihood test for the application of swqmele in fitting an arma-garch model
Zhou, Mo
Peng, Liang
Zhang, Rongmao
[J]. JOURNAL OF TIME SERIES ANALYSIS, 2021, 42 (02) : 222 - 239
[8] Uncertainty analysis of hydrological processes based on ARMA-GARCH model
WANG HongRuiGAO XiongQIAN LongXia YU Song College of Water SciencesBeijing Normal UniversityBeijing China College of MeteorologyPLA University of science and technologyNanjing China
[J]. Science China(Technological Sciences), 2012, 55 (08) : 2321 - 2331
[9] Uncertainty analysis of hydrological processes based on ARMA-GARCH model
WANG HongRui1
2 College of Meteorology
[J]. Science China Technological Sciences, 2012, (08) : 2321 - 2331
[10] Uncertainty analysis of hydrological processes based on ARMA-GARCH model
HongRui Wang
Xiong Gao
LongXia Qian
Song Yu
[J]. Science China Technological Sciences, 2012, 55 : 2321 - 2331

← 1 2 3 4 5 →