Quasi-maximum likelihood estimation of periodic GARCH processes
| dc.creator | Aknouche, Abdehakim | |
| dc.creator | Bibi, Abdelouhab | |
| dc.date | 2007-09-19 | |
| dc.date.accessioned | 2026-07-07T08:30:49Z | |
| dc.date.available | 2026-07-07T08:30:49Z | |
| dc.description | This paper establishes the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) for a GARCH process with periodically time-varying parameters. We first give a necessary and sufficient condition for the existence of a strictly periodically stationary solution for the periodic GARCH (P-GARCH) equation. As a result, it is shown that the moment of some positive order of the P-GARCH solution is finite, under which we prove the strong consistency and asymptotic normality (CAN) of the QMLE without any condition on the moments of the underlying process. | |
| dc.description | 19 pages | |
| dc.identifier | https://arxiv.org/abs/0709.2982 | |
| dc.identifier | http://arxiv.org/abs/0709.2982 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/138340 | |
| dc.subject | Statistics Theory | |
| dc.subject | Probability | |
| dc.subject | Methodology | |
| dc.subject | 62F12 (Primary) 62M10, 91B84 (Secondary) | |
| dc.title | Quasi-maximum likelihood estimation of periodic GARCH processes | |
| dc.type | text |