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.
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页码：605 / 637
页数：33
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