Robust closed-form estimators for the integer-valued GARCH (1,1) model

Qi Li, Heng Lian and Fukang Zhu

Computational Statistics & Data Analysis, 2016, vol. 101, issue C, 209-225

Abstract: A closed-form estimator and its several robust versions for the integer-valued GARCH(1, 1) model are proposed. These estimators are easy to implement and do not require the use of any numerical optimization procedure. Consistency and asymptotic normality for the non-robust closed-form estimator is established. The robustification of the closed-form estimator is done by replacing the sample mean and autocorrelations by robust estimators of them, respectively. The performances of these closed-form estimators are investigated and compared via simulations. New estimators are applied to 5 stock-market data sets with different periods and time intervals, and their prediction performances are assessed by in-sample prediction, out-of-sample prediction and scoring rules. Other possible proposals related to the closed-form estimators are also discussed.

Keywords: Autocorrelation function; Closed-form estimator; Robustness; Time series of counts (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:101:y:2016:i:c:p:209-225

DOI: 10.1016/j.csda.2016.03.006

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