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Quasi-maximum likelihood estimator of Laplace (1, 1) for GARCH models

Haiyan XuanLixin SongMuhammad AminYongxia Shi — 2017

Open Mathematics

This paper studies the quasi-maximum likelihood estimator (QMLE) for the generalized autoregressive conditional heteroscedastic (GARCH) model based on the Laplace (1,1) residuals. The QMLE is proposed to the parameter vector of the GARCH model with the Laplace (1,1) firstly. Under some certain conditions, the strong consistency and asymptotic normality of QMLE are then established. In what follows, a real example with Laplace and normal distribution is analyzed to evaluate the performance of the...

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