Aknouche, Abdelhakim and Al-Eid, Eid and Demouche, Nacer (2016): Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models.
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Abstract
This paper establishes consistency and asymptotic normality of the generalized quasi-maximum likelihood estimate (GQMLE) for a general class of periodic conditionally heteroskedastic time series models (PCH). In this class of models, the volatility is expressed as a measurable function of the infinite past of the observed process with periodically time-varying parameters, while the innovation of the model is an independent and periodically distributed sequence. In contrast with the aperiodic case, the proposed GQMLE is rather based on S instrumental density functions where S is the period of the model while the corresponding asymptotic variance is in a "sandwich" form. Application to the periodic GARCH and the periodic asymmetric power GARCH model is given. Moreover, we discuss how to apply the GQMLE to the prediction of power problem in a one-step framework and to PCH models with complex periodic patterns such as high frequency seasonality and non-integer seasonality.
Item Type: | MPRA Paper |
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Original Title: | Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models |
English Title: | Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models |
Language: | English |
Keywords: | Periodic conditionally heteroskedastic models, periodic asymmetric power GARCH, generalized QML estimation, consistency and asymptotic normality, prediction of powers, high frequency periodicity, non-integer periodicity. |
Subjects: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C18 - Methodological Issues: General C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C51 - Model Construction and Estimation C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics |
Item ID: | 75770 |
Depositing User: | Prof. Abdelhakim Aknouche |
Date Deposited: | 25 Dec 2016 01:32 |
Last Modified: | 04 Oct 2019 23:44 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/75770 |
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