EconPapers    
Economics at your fingertips  
 

Functional GARCH models: the quasi-likelihood approach and its applications

Clément Cerovecki, Christian Francq, Siegfried Hormann and Jean-Michel Zakoian

MPRA Paper from University Library of Munich, Germany

Abstract: The increasing availability of high frequency data has initiated many new research areas in statistics. Functional data analysis (FDA) is one such innovative approach towards modelling time series data. In FDA, densely observed data are transformed into curves and then each (random) curve is considered as one data object. A natural, but still relatively unexplored, context for FDA methods is related to financial data, where high-frequency trading currently takes a significant proportion of trading volumes. Recently, articles on functional versions of the famous ARCH and GARCH models have appeared. Due to their technical complexity, existing estimators of the underlying functional parameters are moment based---an approach which is known to be relatively inefficient in this context. In this paper, we promote an alternative quasi-likelihood approach, for which we derive consistency and asymptotic normality results. We support the relevance of our approach by simulations and illustrate its use by forecasting realised volatility of the S$\&$P100 Index.

Keywords: Functional time series; High-frequency volatility models; Intraday returns; Functional QMLE; Stationarity of functional GARCH (search for similar items in EconPapers)
JEL-codes: C13 C32 C58 (search for similar items in EconPapers)
Date: 2018-01-18
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/83990/1/MPRA_paper_83990.pdf original version (application/pdf)

Related works:
Journal Article: Functional GARCH models: The quasi-likelihood approach and its applications (2019) Downloads
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:83990

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 ().

 
Page updated 2025-03-22
Handle: RePEc:pra:mprapa:83990