GARCH models without positivity constraints: exponential or log GARCH?

DOI10.1016/j.jeconom.2013.05.004zbMath1285.62105arXiv1211.2060OpenAlexW2101554086MaRDI QIDQ2448408

Christian Francq, Olivier Wintenberger, Jean-Michel Zakoian

Publication date: 30 April 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.2060

zbMATH Keywords

quasi-maximum likelihoodtail indexstrict stationarityEGARCHlog-GARCH

Mathematics Subject Classification ID

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

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