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Forskningsartikel2007Vetenskapligt granskad

Consistency of maximum likelihood estimators for the regime-switching GARCH models

Xie, Yingfu


Regime-switching GARCH (generalized autoregressive conditionally heteroscedastic) model incorporates the idea of Markov switching into the somehow restrictive GARCH model, which signi¯cantly extends GARCH models. However, the statistical inference for this model is rather di±cult due to the dependence to the whole regime path. In this paper, we obtain the consistency of the quasi-maximum likelihood estimators, by transforming it to an infinite order ARCH model. Simulation studies to illustrate asymptotic behavior of the estimators and a model specification problem are presented


Regime-switching; GARCH model; Quasi-MLE; Consistency; Asymptotic normality

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2007, Volym: 41, nummer: 6, sidor: 510-522
Utgivare: Taylor & Francis

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