Continuous invertibility and stable QML estimation of the EGARCH(1,1) model

@inproceedings{Wintenberger2012ContinuousIA,
  title={Continuous invertibility and stable QML estimation of the EGARCH(1,1) model},
  author={O. Wintenberger},
  year={2012}
}
We introduce the notion of continuous invertibility on a compact set for volatility models driven by a Stochastic Recurrence Equation (SRE). We prove the strong consistency of the Quasi Maximum Likelihood Estimator (QMLE) when the optimization procedure is done on a continuously invertible domain. This approach gives for the first time the strong consistency of the QMLE used by Nelson (1991) for the EGARCH(1,1) model under explicit but non observable conditions. In practice, we propose to… Expand

Figures from this paper

Asymptotic Normality of the QML Estimator of the EGARCH(1,1) Model
On the Invertibility of EGARCH
On the invertibility of EGARCH(p, q)
AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL
WORKING PAPER No . 21 / 2014 On the Invertibility of EGARCH
An Adaptive Recursive Volatility Prediction Method
GARCH models without positivity constraints: Exponential or log GARCH?
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 44 REFERENCES
Non-Invertibility in Some Heteroscedastic Models
Stationarity and Persistence in the GARCH(1,1) Model
Whittle estimation of EGARCH and other exponential volatility models
GARCH models without positivity constraints: Exponential or log GARCH?
The power log-GARCH model
ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
Bias Correction of ML and QML Estimators in the EGARCH(1,1) Model
...
1
2
3
4
5
...