Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations

Abdou Ka Diongue, Dominique Guegan () and Rodney C. Wolff ()
Additional contact information
Dominique Guegan: Centre d'Economie de la Sorbonne et Paris School of Economics, https://cv.archives-ouvertes.fr/dominique-guegan
Rodney C. Wolff: School of Mathematical Sciences, QUT - Brisbane

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: In this paper, we discuss the class of Bilinear GATRCH (BL-GARCH) models which are capable of capturing simultaneously two key properties of non-linear time series: volatility clustering and leverage effects. It has been observed often that the marginal distributions of such time series have heavy tails; thus we examine the BL-GARCH model in a general setting under some non-Normal distributions. We investigate some probabilistic properties of this model and we propose and implement a maximum likelihood estimation (MLE) methodology. To evaluate the small-sample performance of this method for the various models, a Monte Carlo study is conducted. Finally, within-sample estimation properties are studied using S&P 500 daily returns, when the features of interest manifest as volatility clustering and leverage effects

Keywords: BL-GARCH process; elliptical distribution; leverage effects; maximum likelihood; Monte Carlo method; volatility clustering (search for similar items in EconPapers)
Pages: 29 pages
Date: 2008-04
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Citations: View citations in EconPapers (3)

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ftp://mse.univ-paris1.fr/pub/mse/CES2008/B08027.pdf (application/pdf)

Related works:
Working Paper: Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations (2008)
Working Paper: Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:b08027

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