IDEAS home Printed from https://ideas.repec.org/a/taf/lstaxx/v46y2017i23p11558-11574.html
   My bibliography  Save this article

Pseudo maximum likelihood estimation of the univariate GARCH (2,2) and asymptotic normality under dependent innovations

Author

Listed:
  • Eugene Kouassi
  • Patrice Soh Takam
  • Jean Marcelin Bosson Brou
  • Emile Herve Ndoumbe

Abstract

In this paper, we first consider the pseudo maximum likelihood estimation of the univariate GARCH (2,2) model and derive the underlying estimator. Then, we make use of the technique of martingales to establish the asymptotic normality of the pseudo-maximum likelihood estimator (PMLE) of the univariate GARCH (2,2) model. Contrary to previous approaches encountered in the statistical literature, the pseudo-likelihood function uses the general form of the density laws of the quadratic exponential family.

Suggested Citation

  • Eugene Kouassi & Patrice Soh Takam & Jean Marcelin Bosson Brou & Emile Herve Ndoumbe, 2017. "Pseudo maximum likelihood estimation of the univariate GARCH (2,2) and asymptotic normality under dependent innovations," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(23), pages 11558-11574, December.
    • Handle: RePEc:taf:lstaxx:v:46:y:2017:i:23:p:11558-11574
    DOI: 10.1080/03610926.2016.1275694
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03610926.2016.1275694
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03610926.2016.1275694?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Eric Beutner & Julia Schaumburg & Barend Spanjers, 2024. "Bootstrapping GARCH Models Under Dependent Innovations," Tinbergen Institute Discussion Papers 24-008/III, Tinbergen Institute.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:lstaxx:v:46:y:2017:i:23:p:11558-11574. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/lsta .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.