Likelihood inference in BL-GARCH models

DOI10.1007/BF03354605MaRDI QIDQ1424647zbMATH OpenOpenAlexFDO

Authors Giuseppe Storti, Cosmio Vitale

Publication date 16 March 2004

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf03354605

zbMATH Keywords

bilinear GARCH modelEM-algorithmstate-space representationstationarityunconditional moments

Mathematics Subject Classification ID

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

Review text

The authors consider a bilinear (BL) GARCH model for the observed time series \(u\): \[ u=h_t z_t;\quad h_t^2=a_0+\sum_{i=1}^r a_i u_{t-i}^2+\sum_{j=1}^s b_j h_{t-j}^2+ \sum_{k=1}^{r^*} c_k u_{t-k}h_{t-k}. \] Conditions of stationarity and representations for the fourth unconditional moment and kurtosis of the BL-GARCH(1,1) process are presented. An EM-algorithm is proposed for the calculation of maximum likelihood estimators for unknown coefficients of BL-GARCH models. It is based on a state-space representation of BL-GARCH processes. An application to the S\,\&\,P500 stock market index from 1.03.1999 to 31.01.2001 is discussed.

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Cites work

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Cited in

(9)

• Modelling asymmetric volatility dynamics by multivariate BL-GARCH models
• BL-GARCH models and asymmetries in volatility
• A new nonlinear formulation for GARCH models
• Stationary solution and parametric estimation for bilinear model driven by ARCH noises
• On an independent and identically distributed mixture bilinear time-series model
• BL-GARCH models with elliptical distributed innovations
• Markov-switching BILINEAR-GARCH models: structure and estimation
• Likelihood-Based Estimation of Latent Generalized ARCH Structures
• QMLE of periodic time-varying bilinear– GARCH models

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