Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

DOI10.3150/BJ/1093265632zbMath1067.62094OpenAlexW1994411832MaRDI QIDQ1763105

Christian Francq, Jean-Michel Zakoian

Publication date: 21 February 2005

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1093265632

zbMATH Keywords

asymptotic normalityGARCHheteroskedastic time series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (only showing first 100 items - show all)

On the choice of test for a unit root when the errors are conditionally heteroskedastic ⋮ A score statistic for testing the presence of a stochastic trend in conditional variances ⋮ On Fréchet autoregressive conditional duration models ⋮ Dynamic factor multivariate GARCH model ⋮ Minimum density power divergence estimator for Poisson autoregressive models ⋮ Recent progress in parameter change test for integer-valued time series models ⋮ A class of stochastic unit-root bilinear processes: mixing properties and unit-root test ⋮ Joint and marginal specification tests for conditional mean and variance models ⋮ Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes ⋮ Composite quantile regression estimation for P-GARCH processes ⋮ An alternative approach to estimating demand: neural network regression with conditional volatility for high frequency air passenger arrivals ⋮ Asymptotics for parametric GARCH-in-mean models ⋮ Minimum density power divergence estimator for negative binomial integer-valued GARCH models ⋮ Two-stage RLS algorithm for estimating ARCH models ⋮ Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis ⋮ Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness ⋮ Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown ⋮ Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation ⋮ Parameter change tests for ARMA-GARCH models ⋮ Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach ⋮ M-estimation for periodic GARCH model with high-frequency data ⋮ Contrast estimation of time-varying infinite memory processes ⋮ Monitoring parameter change for time series models with conditional heteroscedasticity ⋮ Generalized dynamic factor models and volatilities: estimation and forecasting ⋮ Consistent model selection criteria and goodness-of-fit test for common time series models ⋮ Nonlinear Poisson autoregression ⋮ Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations ⋮ Specification tests for the error distribution in GARCH models ⋮ On the estimation and diagnostic checking of the ARFIMA-HYGARCH model ⋮ Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations ⋮ Asymptotic inference in multiple-threshold double autoregressive models ⋮ Minimum density power divergence estimator for GARCH models ⋮ Some recent theory for autoregressive count time series ⋮ GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference ⋮ Estimation and asymptotic properties of a stationary univariate GARCH(\(p,q\)) process ⋮ Asymptotic inference of unstable periodic ARCH processes ⋮ Inference in VARs with conditional heteroskedasticity of unknown form ⋮ Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions ⋮ A uniform Berry-Esseen theorem on \(M\)-estimators for geometrically ergodic Markov chains ⋮ Estimation in a class of nonlinear heteroscedastic time series models ⋮ On model Fitting and estimation of strictly stationary processes ⋮ Quasi-maximum likelihood estimator of Laplace \((1,1)\) for GARCH models ⋮ Least absolute deviation estimation of autoregressive conditional duration model ⋮ Multiple breaks detection in general causal time series using penalized quasi-likelihood ⋮ Serial independence tests for innovations of conditional mean and variance models ⋮ GARCH option pricing models with Meixner innovations ⋮ Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models ⋮ Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models ⋮ GARCH models without positivity constraints: exponential or log GARCH? ⋮ Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization ⋮ On dynamics of volatilities in nonstationary GARCH models ⋮ Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models ⋮ Robust score and portmanteau tests of volatility spillover ⋮ Risk-parameter estimation in volatility models ⋮ Detecting structural breaks in realized volatility ⋮ Bootstrap based probability forecasting in multiplicative error models ⋮ Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models ⋮ Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models ⋮ Maximum entropy test for GARCH models ⋮ Robust estimates for GARCH models ⋮ Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH ⋮ Estimation and testing linearity for non-linear mixed Poisson autoregressions ⋮ Modeling maxima with autoregressive conditional Fréchet model ⋮ Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model ⋮ Test for parameter change in ARMA models with GARCH innovations ⋮ Feasible invertibility conditions and maximum likelihood estimation for observation-driven models ⋮ On change point test for ARMA-GARCH models: bootstrap approach ⋮ A scalar dynamic conditional correlation model: structure and estimation ⋮ Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases ⋮ Estimation of stable distributions by indirect inference ⋮ NM-QELE for ARMA-GARCH models with non-Gaussian innovations ⋮ Robust generalized empirical likelihood for heavy tailed autoregressions with conditionally heteroscedastic errors ⋮ Estimation and strict stationarity testing of ARCH processes based on weighted least squares ⋮ Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes ⋮ Monitoring parameter change in time series models ⋮ Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity ⋮ Robust maximum entropy test for GARCH models based on a minimum density power divergence estimator ⋮ Volatility filtering in estimation of kurtosis (and variance) ⋮ Linear double autoregression ⋮ Inconsistency of the MLE and inference based on weighted LS for LARCH models ⋮ Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE ⋮ Chasing volatility. A persistent multiplicative error model with jumps ⋮ General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator ⋮ Sequential change point test in the presence of outliers: the density power divergence based approach ⋮ A note on Jarque-Bera normality test for ARMA-GARCH innovations ⋮ Testing the equality of error distributions from \(k\) independent GARCH models ⋮ Mean targeting estimator for the integer-valued GARCH(1, 1) model ⋮ Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients ⋮ Forecasting price of financial market crash via a new nonlinear potential GARCH model ⋮ Consistency of global LSE for MA(1) models ⋮ Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models ⋮ On score vector- and residual-based CUSUM tests in ARMA-GARCH models ⋮ Estimation of multivariate asymmetric power GARCH models ⋮ CUSUM test for general nonlinear integer-valued GARCH models: comparison study ⋮ Modified residual CUSUM test for location-scale time series models with heteroscedasticity ⋮ Joint extremal behavior of hidden and observable time series with applications to GARCH processes ⋮ Model-based pricing for financial derivatives ⋮ Testing the existence of moments for GARCH processes ⋮ Simultaneous inference for time-varying models ⋮ On the tail index inference for heavy-tailed GARCH-type innovations

Cites Work

• Unnamed Item
• Unnamed Item
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Stationarity of GARCH processes and of some nonnegative time series
• M-estimation for autoregression with infinite variance
• Time series: theory and methods.
• Subadditive ergodic theory
• Parameter estimation for infinite variance fractional ARIMA
• GARCH processes: structure and estimation
• The rate of consistency of the quasi-maximum likelihood estimator.
• On adaptive estimation in nonstationary ARMA models with GARCH errors
• Generalized autoregressive conditional heteroscedasticity
• Parameter estimation for ARMA models with infinite variance innovations
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• Normalité asymptotique de l'estimateur du pseudo-maximum de vraisemblance d'un modèle GARCH
• Estimation When a Parameter is on a Boundary
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• The Lindeberg-Levy Theorem for Martingales

This page was built for publication: Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes