Xie, Yingfu
- Department of Forest Economics, Swedish University of Agricultural Sciences
Abstract
Regime-switching GARCH (generalized autoregressive conditional heteroscedastic) model combines the idea of Markov switching and GARCH model, which can also be considered as an extension of Hidden Markov model. The statistical inference for this model is, however, rather difficult because of the dependencies to the whole regime history. In this paper, we obtain the consistency of quasi-maximum likelihood estimator for a reduced regime-switching GARCH model. Simulation studies to illustrate consistency, asymptotic normality of the proposed estimators, as well as a model misspecification problem are also presented
Keywords
Asymptotic Normality; Consistency; GARCH model; Hidden Markov Model; Regime-switching; Quasi-MLE
Published in
Research report (Centre of Biostochastics)
2005, volume: 2005, number: 2, pages: 1-15
Publisher: SLU
SLU Authors
Yu, Jun
- Department of Forest Economics, Swedish University of Agricultural Sciences
- Department of Forest Economics, Swedish University of Agricultural Sciences
UKÄ Subject classification
Agricultural Science
Permanent link to this page (URI)
https://res.slu.se/id/publ/6854