Composite Likelihood for Bilinear GARCH Model

DOI: 10.4236/am.2014.515225   PDF   HTML     4,092 Downloads   4,710 Views  

Abstract

In this study, we focus on the class of BL-GARCH models, which is initially introduced by Storti & Vitale [1] in order to handle leverage effects and volatility clustering. First we illustrate some properties of BL-GARCH (1, 2) model, like the positivity, stationarity and marginal distribution; then we study the statistical inference, apply the composite likelihood on panel of BL-GARCH (1, 2) model, and study the asymptotic behavior of the estimators, like the consistency property and the asymptotic normality.

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Bouchemella, A. and Benmostefa, F. (2014) Composite Likelihood for Bilinear GARCH Model. Applied Mathematics, 5, 2311-2317. doi: 10.4236/am.2014.515225.

Conflicts of Interest

The authors declare no conflicts of interest.

References

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