Research article, 2005
Consistency of quasi-maximum likelihood estimators for the reduced regime-switching GARCH model
Xie, Yingfu; Yu, JunAbstract
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 presentedKeywords
Asymptotic Normality; Consistency; GARCH model; Hidden Markov Model; Regime-switching; Quasi-MLEPublished in
Research report (Centre of Biostochastics)2005, volume: 2005, number: 2, pages: 1-15
Publisher: SLU
Authors' information
Xie, Yingfu
Swedish University of Agricultural Sciences, Department of Forest Economics
Yu, Jun
Swedish University of Agricultural Sciences, Department of Forest Economics
URI (permanent link to this page)
https://res.slu.se/id/publ/6854