Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models

Abdelhakim Aknouche, Eid Al-Eid and Nacer Demouche

MPRA Paper from University Library of Munich, Germany

Abstract: This paper establishes consistency and asymptotic normality of the generalized quasi-maximum likelihood estimate (GQMLE) for a general class of periodic conditionally heteroskedastic time series models (PCH). In this class of models, the volatility is expressed as a measurable function of the infinite past of the observed process with periodically time-varying parameters, while the innovation of the model is an independent and periodically distributed sequence. In contrast with the aperiodic case, the proposed GQMLE is rather based on S instrumental density functions where S is the period of the model while the corresponding asymptotic variance is in a "sandwich" form. Application to the periodic GARCH and the periodic asymmetric power GARCH model is given. Moreover, we discuss how to apply the GQMLE to the prediction of power problem in a one-step framework and to PCH models with complex periodic patterns such as high frequency seasonality and non-integer seasonality.

Keywords: Periodic conditionally heteroskedastic models; periodic asymmetric power GARCH; generalized QML estimation; consistency and asymptotic normality; prediction of powers; high frequency periodicity; non-integer periodicity. (search for similar items in EconPapers)
JEL-codes: C13 C18 C51 C58 (search for similar items in EconPapers)
Date: 2016-02-03, Revised 2016-12-19
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/75770/1/MPRA_paper_75770.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/75894/1/MPRA_paper_75894.pdf revised version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:75770

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().