TITLE:
Composite Likelihood for Bilinear GARCH Model
AUTHORS:
Abdelhalim Bouchemella, Fatima Zahra Benmostefa
KEYWORDS:
Random Coefficient Autoregressive Model, BL-GARCH Models, Composite Likelihood
JOURNAL NAME:
Applied Mathematics,
Vol.5 No.15,
August
14,
2014
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.