Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models

DOI10.1214/11-AOS895MaRDI QIDQ651027zbMATH OpenFDO

Authors Ke Zhu, Shiqing Ling

Publication date 8 December 2011

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.6216

zbMATH Keywords

asymptotic normalitystrong consistency

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: This paper investigates the asymptotic theory of the quasi-maximum exponential likelihood estimators (QMELE) for ARMA--GARCH models. Under only a fractional moment condition, the strong consistency and the asymptotic normality of the global self-weighted QMELE are obtained. Based on this self-weighted QMELE, the local QMELE is showed to be asymptotically normal for the ARMA model with GARCH (finite variance) and IGARCH errors. A formal comparison of two estimators is given for some cases. A simulation study is carried out to assess the performance of these estimators, and a real example on the world crude oil price is given.

Recommendations

• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Estimation and asymptotic inference in the AR-ARCH model
• Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model

Cites work

• scientific article; zbMATH DE number 3336465 (Why is no real title available?)
• ARCH modeling in finance. A review of the theory and empirical evidence
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach
• Estimation and asymptotic inference in the AR-ARCH model
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• GARCH processes: structure and estimation
• Inconsistency of the MLE and inference based on weighted LS for LARCH models
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity
• Least absolute deviation estimation for general autoregressive moving average time-series models
• Least absolute deviation estimation for regression with ARMA errors
• Least absolute deviations estimation for ARCH and GARCH models
• Limiting distributions for \(L_1\) regression estimators under general conditions
• M-estimation for autoregression with infinite variance
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity
• RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS
• Regular variation of GARCH processes.
• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• Stationarity of GARCH processes and of some nonnegative time series
• The efficiency of the estimators of the parameters in GARCH processes.
• The global weighted lad estimators for finite/infinite variance ARMA\((p,q)\) models
• Weighted least absolute deviations estimation for ARMA models with infinite variance
• Weighted least absolute deviations estimation for an AR(1) process with ARCH(1) errors
• \(L_{p}\)-estimators in ARCH models

Cited in

(49)

• The global weighted lad estimators for finite/infinite variance ARMA\((p,q)\) models
• Non-standard inference for augmented double autoregressive models with null volatility coefficients
• Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process
• On the tail index inference for heavy-tailed GARCH-type innovations
• NM-QELE for ARMA-GARCH models with non-Gaussian innovations
• Estimation of the empirical risk‐return relation: A generalized‐risk‐in‐mean model
• Asymmetric linear double autoregression
• Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
• QUANTILE DOUBLE AUTOREGRESSION
• Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall
• Strict stationarity testing and GLAD estimation of double autoregressive models
• Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models
• Hybrid quantile estimation for asymmetric power GARCH models
• LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
• A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach
• Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure
• Extreme conditional expectile estimation in heavy-tailed heteroscedastic regression models
• Bootstrap inference for GARCH models by the least absolute deviation estimation
• Estimating FARIMA models with uncorrelated but non-independent error terms
• Nonparametric tests for market timing ability using daily mutual fund returns
• Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models
• Robust estimation and inference for heavy tailed GARCH
• Test for zero median of errors in an ARMA-GARCH model
• Asymptotic inference of the ARMA model with time-functional variance noises
• Asymptotic inference for AR models with heavy-tailed G-GARCH noises
• Test for Zero Mean of Errors In An ARMA-GGARCH Model After Using A Median Inference
• Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
• Self-weighted recursive estimation of GARCH models
• Extremal Dependence-Based Specification Testing of Time Series
• Risk Analysis via Generalized Pareto Distributions
• GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
• Linear double autoregression
• Robust score and portmanteau tests of volatility spillover
• Risk-parameter estimation in volatility models
• Statistical Inference for a Relative Risk Measure
• Self-weighted LAD-based inference for heavy-tailed continuous threshold autoregressive models
• Quantile regression for location-scale time series models with conditional heteroscedasticity
• Modeling normalcy‐dominant ordinal time series: An application to air quality level
• Quasi maximum exponential likelihood estimation of GARCH model based on high frequency data
• Empirical likelihood test for the application of SWQMELE in fitting an ARMA-GARCH model
• Quasi-maximum likelihood estimator of Laplace \((1,1)\) for GARCH models
• Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model
• Sample path properties of an explosive double autoregressive model
• Self-weighted LAD-based inference for heavy-tailed threshold autoregressive models
• Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
• Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
• Factor double autoregressive models with application to simultaneous causality testing
• Least tail-trimmed squares for infinite variance autoregressions
• Robust inference in AR-G/GARCH models under model uncertainty

This page was built for publication: Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA-GARCH/IGARCH models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q651027)