Vine-GARCH process: Stationarity and Asymptotic Properties

Benjamin Poignard () and Jean-David Fermanian ()
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Benjamin Poignard: Ensae-Crest, University Paris-Dauphine
Jean-David Fermanian: Ensae-Crest

No 2016-03, Working Papers from Center for Research in Economics and Statistics

Abstract: We provide conditions for the existence and the uniqueness of strictly stationary solutions of the Vine-GARCH process. The proof is based on Tweedie's (1988) criteria, after rewriting the Vine-GARCH process as a nonlinear Markov chain. Furthermore, we provide asymptotic results of the estimators obtained by the quasimaximum likelihood method. We prove the weak consistency and asymptotic normality of the quasi-maximum likelihood estimator obtained in a two-step procedure.

Keywords: Asymptotic normality; Consistency; Quasi Maximum Likelihood Estimator; Stationarity; Vine-GARCH. (search for similar items in EconPapers)
Pages: 53
Date: 2016-02
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