We prove the strong consistency and asymptotic normality of the quasi-maximum likelihood estimator of the parameters of pure generalized autoregressive conditional heteroscedastic (GARCH) processes, and of autoregressive moving-average models with noise sequence driven by a GARCH model. Results are obtained under mild conditions.
Publié le : 2004-08-14
Classification:
ARMA,
asymptotic normality,
consistency,
GARCH,
heteroscedastic time series, maximum likelihood estimation
@article{1093265632,
author = {Francq, Christian and Zako\"\i an, Jean-Michel},
title = {Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes},
journal = {Bernoulli},
volume = {10},
number = {2},
year = {2004},
pages = { 605-637},
language = {en},
url = {http://dml.mathdoc.fr/item/1093265632}
}
Francq, Christian; Zakoïan, Jean-Michel. Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes. Bernoulli, Tome 10 (2004) no. 2, pp. 605-637. http://gdmltest.u-ga.fr/item/1093265632/