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
下载
收藏
页码：605 / 637
页数：33
相关论文
共 50 条
  • [21] Exploring the Regional Variance using ARMA-GARCH Models
    Xie, Huantian
    Li, Dingfang
    Xiong, Lihua
    WATER RESOURCES MANAGEMENT, 2016, 30 (10) : 3507 - 3518
  • [22] 基于ARMA-GARCH模型的风险管理
    苗苗
    中国证券期货, 2013, (04) : 94 - 95
  • [23] Sequential change point detection in ARMA-GARCH models
    Song, Junmo
    Kang, Jiwon
    JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 2020, 90 (08) : 1520 - 1538
  • [24] Stock Indices Analysis Based on ARMA-GARCH Model
    Wang, Weiqiang
    Guo, Ying
    Niu, Zhendong
    Cao, Yujuan
    2009 IEEE INTERNATIONAL CONFERENCE ON INDUSTRIAL ENGINEERING AND ENGINEERING MANAGEMENT, VOLS 1-4, 2009, : 2143 - +
  • [25] 基于GF的ARMA-GARCH股票预测
    车冠贤
    李伟书
    现代商贸工业, 2018, 39 (30) : 102 - 103
  • [26] TEST FOR ZERO MEDIAN OF ERRORS IN AN ARMA-GARCH MODEL
    Ma, Yaolan
    Zhou, Mo
    Peng, Liang
    Zhang, Rongmao
    ECONOMETRIC THEORY, 2022, 38 (03) : 536 - 561
  • [27] Change point detection in copula ARMA-GARCH Models
    Na, Okyoung
    Lee, Jiyeon
    Lee, Sangyeol
    JOURNAL OF TIME SERIES ANALYSIS, 2012, 33 (04) : 554 - 569
  • [28] Bayesian analysis of a doubly truncated ARMA-GARCH model
    Goldman, E
    Tsurumi, H
    STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 2005, 9 (02):
  • [29] Finite mixture of ARMA-GARCH model for stock price prediction
    Tang, H
    Chiu, KC
    Xu, L
    PROCEEDINGS OF THE 7TH JOINT CONFERENCE ON INFORMATION SCIENCES, 2003, : 1112 - 1115
  • [30] On change point test for ARMA-GARCH models: Bootstrap approach
    Haejune Oh
    Sangyeol Lee
    Journal of the Korean Statistical Society, 2018, 47 : 139 - 149
12345