Power periodic threshold GARCH model: Structure and estimation

Hafida Guerbyenne and Abderrahim Kessira

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 19, 4834-4860

Abstract: In this paper, we introduce and study the Power Periodic Threshold GARCH Model (PPTGARCH). We give the necessary and sufficient conditions for the existence of the unique strictly periodically stationary solution of the model and the necessary and sufficient conditions for the existence of moments. A sufficient condition for the periodic geometric ergodicity and β – mixing property using the uniform countable additivity condition is given. We prove the consistency and asymptotic normality of the Quasi-Maximum Likelihood estimator (QMLE) of the parameters. Simulation studies to illustrate consistency and asymptotic normality of the estimators for different underlying error distributions are presented.

Date: 2019
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DOI: 10.1080/03610926.2018.1496258

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