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January Estimation and asymptotic properties of a stationary univariate GARCH(p, q) process
Roger KADJO, Ouagnina HILI, Aubin Yao N'DRI
Afr. Stat. 15(1): 2225-2246 (January). DOI: 10.16929/as/2020.2225.155

Abstract

In this paper, we determine the Minimum Hellinger Distance estimator of a stationary univariate GARCH process. We construct an estimator of the parameters based on the minimum Hellinger distance method. Under conditions which ensure the phi-mixing of the GARCH process, we establish the almost sure convergence and the asymptotic normality of the estimator.

Dans ce papier, nous déterminons l'Estimateur du Minimum de Distance de Hellinger d'un processus GARCH univarié stationnaire. Nous construisons un estimateur basé sur la méthode du Minimum de Distance de Hellinger. Sous les conditions de phi-mélange du processus GARCH, nous établissons les propriétés asymptotiques de cet estimateur.

Citation

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Roger KADJO. Ouagnina HILI. Aubin Yao N'DRI. "Estimation and asymptotic properties of a stationary univariate GARCH(p, q) process." Afr. Stat. 15 (1) 2225 - 2246, January. https://doi.org/10.16929/as/2020.2225.155

Information

Published: January
First available in Project Euclid: 16 May 2020

zbMATH: 07235733
MathSciNet: MR4099225
Digital Object Identifier: 10.16929/as/2020.2225.155

Subjects:
Primary: 62F12
Secondary: 60G10, 62G35, 62H12

Rights: Copyright © 2020 The Statistics and Probability African Society

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Vol.15 • No. 1 • January
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