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• W2134809439 abstract "Abstract. This article establishes the strong consistency and asymptotic normality (CAN) of the quasi-maximum likelihood estimator (QMLE) for generalized autoregressive conditionally heteroscedastic (GARCH) and autoregressive moving-average (ARMA)-GARCH processes with periodically time-varying parameters. We first give a necessary and sufficient condition for the existence of a strictly periodically stationary solution of the periodic GARCH (PGARCH) equation. As a result, it is shown that the moment of some positive order of the PGARCH solution is finite, under which we prove the strong consistency and asymptotic normality of the QMLE for a PGARCH process without any condition on its moments and for a periodic ARMA-GARCH (PARMA-PGARCH) under mild conditions." @default.
• W2134809439 created "2016-06-24" @default.
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• W2134809439 date "2009-01-01" @default.
• W2134809439 modified "2023-10-10" @default.
• W2134809439 title "Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes" @default.
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• W2134809439 doi "https://doi.org/10.1111/j.1467-9892.2008.00598.x" @default.
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