Composite Likelihood for Bilinear GARCH Model

Abdelhalim Bouchemella, Fatima Zahra Benmostefa

University of 08 May 1945, Guelma, Algeria.
University of Badji Mokhtar, Annaba, Algeria.

DOI: 10.4236/am.2014.515225                

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.

Keywords

Random Coefficient Autoregressive Model, BL-GARCH Models, Composite Likelihood

Conflicts of Interest

The authors declare no conflicts of interest.

References

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