Smoothed empirical likelihood for GARCH models with heavy-tailed errors

Jinyu Li, Xingtong Chen and Song Zhu

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 24, 7275-7293

Abstract: This paper proposes an empirical likelihood (EL) method for estimating the GARCH(p, q) models with heavy-tailed errors. Using the kernel smoothing method, we derive a smoothed EL ratio statistic, which yields a smoothed EL estimator. Moreover, we derive a profile EL for the partial parameters in the presence of nuisance parameters. Simulations and empirical results are conducted to illustrate our proposed method.

Date: 2016
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DOI: 10.1080/03610926.2014.978947

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