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Quasi-maximum likelihood estimator of Laplace (1, 1) for GARCH models

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Xuan H., Song L., Amin M., Shi Y.

Open Mathematics

2017

tom 15

nr 1

1539-1548

This paper studies the quasi-maximum likelihood estimator (QMLE) for the generalized autoregressive conditional heteroscedastic (GARCH) model based on the Laplace (1,1) residuals. The QMLE is proposed to the parameter vector of the GARCH model with the Laplace (1,1) firstly. Under some certain conditions, the strong consistency and asymptotic normality of QMLE are then established. In what follows, a real example with Laplace and normal distribution is analyzed to evaluate the performance of the QMLE and some comparison results on the performance are given. In the end the proofs of some theorem are presented.

Ograniczanie wyników

1 Open Mathematics

1 Amin M.

1 Shi Y.

1 Song L.

1 Xuan H.

1 2017

Wyniki wyszukiwania

Quasi-maximum likelihood estimator of Laplace (1, 1) for GARCH models