Details

Title

New Approach in Dealing with the Non-Negativity of the Conditional Variance in the Estimation of GARCH Model

Journal title

Central European Journal of Economic Modelling and Econometrics

Yearbook

2021

Issue

No 1

Affiliation

Settar, Abdeljalil : LIPIM, École Nationale des Sciences Appliquées (ENSA), Khouribga, Morocco ; Fatmi, Nadia Idrissi : LIPIM, École Nationale des Sciences Appliquées (ENSA), Khouribga, Morocco ; Badaoui, Mohammed : LIPIM, École Nationale des Sciences Appliquées (ENSA), Khouribga, Morocco ; Badaoui, Mohammed : LaMSD, École Supérieure de Technologie (EST), Oujda, Morocco

Authors

Keywords

GARCH ; Kalman filter ; conditional variance ; volatility ; quasimaximum likelihood

Divisions of PAS

Nauki Humanistyczne i Społeczne

Coverage

55-74

Publisher

Oddział PAN w Łodzi

Bibliography

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[2] Anderson B., Moore J., (1979), Optimal Filtering, Prentice Hall, 230–238.
[3] Bahamonde N., Veiga H., (2016), A robust closed-form estimator for the GARCH (1,1) model, Journal of Statistical Computation and Simulation 86(8), 1605–1619.
[4] Bollerslev T., (1986), Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics 31(3), 307-327.
[5] Bollerslev T., (1987), A conditionally heteroskedastic time series model for speculative prices and rates of return, The review of economics and statistics, 542–547.
[6] Carnero M. A., Peña D., Ruiz E., (2012), Estimating GARCH volatility in the presence of outliers, Economics Letters 114(1), 86–90.
[7] Engle R. F., (1982), Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation, Econometrica 50(4), 987–1007.
[8] Fan J., Qi L., Xiu D., (2014), Quasi-maximum likelihood estimation of GARCH models with heavy-tailed likelihoods, Journal of Business & Economic Statistics 32(2), 178–191.
[9] Francq C., Zakoïan J. M., (2007), Quasi-maximum likelihood estimation in garch processes when some coefficients are equal to zero, Stochastic Processes and their Applications 117(9), 1265–1284.
[10] Francq C., Wintenberger O., Zakoïan J. M., (2013), GARCH models without positivity constraints: Exponential or Log GARCH, Journal of Econometrics 177(1), 34–46.
[11] Ghalanos A. (2014), Rugarch: Univariate GARCH models. R package version 1.4-0, accessed 16 January 2019, available at: https://cran.r-project.org/ web/packages/rugarch/rugarch.pdf.
[12] Ling S., (1999), On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model, Journal of Applied Probability 36(3), 688–705.
[13] Ling S., McAleer M., (2002), Necessary and sufficient moment conditions for the GARCH (r,s) and asymmetric power GARCH (r,s) models, Econometric Theory 18(3), 722–729.
[14] Ling S., McAleer M., (2003), Asymptotic theory for a vector arma-garch model, Econometric Theory 19(2), 280–310.
[15] Luethi D., Erb P., & Otziger S., (2018), FKF: Fast Kalman Filter. R package version 0.1.5, accessed 16 July 2018, available at: https://http://cran. univ-paris1.fr/web/packages/FKF/FKF.pdf.
[16] Nelson D. B., Cao C. Q., (1992), Inequality Constraints in the Univariate GARCH Model, Journal of Business & Economic Statistics 10(2), 229–235.
[17] Ossandón S., Bahamonde N., (2013), A new nonlinear formulation for GARCH models, Comptes Rendus Mathematique 351(5-6), 235–239.
[18] Simon D., (2006), Optimal state estimation, John Wiley & Sons, 218–223.
[19] Spall J. C., (1992), Multivariate Stochastic Approximation Using a Simultaneous Perturbation Gradient Approximation, IEEE Transactions on Automatic Control 37(3), 332–341.
[20] Spall J. C., (1998), Implementation of the simultaneous perturbation algorithm for stochastic optimization, IEEE Transactions on aerospace and electronic systems 34(3), 817–823.
[21] Tsai H., Chan K. S., (2008), A note on inequality constraints in the GARCH model, Econometric Theory 24(3), 823–828.
[22] Zhu X., Xie L., (2016), Adaptive quasi-maximum likelihood estimation of GARCH models with Student’st likelihood, Communications in Statistics-Theory and Methods 45(20), 6102-6111.

Date

2021.05.13

Type

Article

Identifier

DOI: 10.24425/cejeme.2021.137355

Source

Central European Journal of Economic Modelling and Econometrics; 2021; No 1; 55-74
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