Bilinear log-GARCH model

DOI10.1515/MCMA-2026-3008MaRDI QIDQ7261485zbMATH OpenFDO

Authors Boutheina Tair, Ines Lescheb, Hamza Guebbai, Walid Slimani

Publication date 10 June 2026

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/MCMA-2026-3008

zbMATH Keywords

GARCH modelsMonte Carlo method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Cites work

• QMLE of periodic time-varying bilinear– GARCH models
• \textit{QMLE} of the general periodic \textit{GARCH} models
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• Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models
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• Modeling volatility persistence of speculative returns: a new approach
• On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity
• On periodic logGARCH model with empirical application model with empirical application
• Periodic stationarity of random coefficient periodic autoregressions
• QMLE for periodic absolute value GARCH models
• The \(\log\) GARCH stochastic volatility model

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