Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
From MaRDI portal
Publication:2868871
DOI10.1111/SJOS.12038zbMATH Open1283.62190arXiv1211.3292OpenAlexW1942235537MaRDI QIDQ2868871FDOQ2868871
Authors: Olivier Wintenberger 
Publication date: 19 December 2013
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Abstract: We introduce the notion of continuous invertibility on a compact set for volatility models driven by a Stochastic Recurrence Equation (SRE). We prove the strong consistency of the Quasi Maximum Likelihood Estimator (QMLE) when the optimization procedure is done on a continuously invertible domain. This approach gives for the first time the strong consistency of the QMLE used by Nelson in cite{nelson:1991} for the EGARCH(1,1) model under explicit but non observable conditions. In practice, we propose to stabilize the QMLE by constraining the optimization procedure to an empirical continuously invertible domain. The new method, called Stable QMLE (SQMLE), is strongly consistent when the observations follow an invertible EGARCH(1,1) model. We also give the asymptotic normality of the SQMLE under additional minimal assumptions.
Full work available at URL: https://arxiv.org/abs/1211.3292
Recommendations
- On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- On the invertibility of EGARCH\((p, q)\)
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
asymptotic normalitystrong consistencyvolatility modelsstochastic recurrence equationsquasi-maximum likelihoodexponential GARCHinvertible models
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- On the invertibility of time series models
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- A CENTRAL LIMIT THEOREM AND A STRONG MIXING CONDITION
- GARCH processes: structure and estimation
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Stationarity of GARCH processes and of some nonnegative time series
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Regular variation of GARCH processes.
- The efficiency of the estimators of the parameters in GARCH processes.
- MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS
- Estimation in conditionally heteroscedatic time series models.
- Stochastic volatility models with possible extremal clustering
- GARCH models without positivity constraints: exponential or log GARCH?
- Subadditive ergodic theory
- Title not available (Why is that?)
- Kalman Filtering with Random Coefficients and Contractions
- On the Harris recurrence of iterated random Lipschitz functions and related convergence rate results
- Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
- A multiplicative ergodic theorem for Lipschitz maps
- Complete convergence for \(\alpha{}\)-mixing sequences
- Whittle estimation of EGARCH and other exponential volatility models
- Title not available (Why is that?)
- Edgeworth and moment approximations: the case of MM and QML estimators for the MA(1) models
Cited In (29)
- Dynamic partial correlation models
- Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model
- Stationarity and ergodicity of univariate generalized autoregressive score processes
- Maximum likelihood estimation for score-driven models
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
- Goodness-of-fit tests for Log-GARCH and EGARCH models
- A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation
- Asymptotics of Cholesky GARCH models and time-varying conditional betas
- Two classes of dynamic binomial integer-valued ARCH models
- A robust score-driven filter for multivariate time series
- A coupled component DCS-EGARCH model for intraday and overnight volatility
- Exponential-Type GARCH Models With Linear-in-Variance Risk Premium
- Autoregressive conditional betas
- Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
- Observation-driven filtering of time-varying parameters using moment conditions
- Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
- An almost closed form estimator for the EGARCH model
- A CLT for martingale transforms with infinite variance
- Spillover dynamics for systemic risk measurement using spatial financial time series models
- Risk-parameter estimation in volatility models
- On the invertibility of EGARCH\((p, q)\)
- Optimal change-point estimation in time series
- GARCH models without positivity constraints: exponential or log GARCH?
- An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns
- On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model
- Outliers and misleading leverage effect in asymmetric GARCH-type models
- A new binomial autoregressive process with explanatory variables
- QML inference for volatility models with covariates
- Commercial and residential mortgage defaults: spatial dependence with frailty
This page was built for publication: Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2868871)
