Self-Weighted Quasi-Maximum Likelihood Estimators for a Class of MA-GARCH Model

Self-Weighted Quasi-Maximum Likelihood Estimators for a Class of MA-GARCH Model

In financial time series analysis, symmetric and asymmetric GARCH models have become essential models for measuring the characteristics of economic volatility. In this article, we propose the consistency and asymptotic normality properties of the self-weighted quasi-maximum likelihood estimation wit...

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Bibliographic Details
Main Authors: Danni Xie, Xin Liang, Ruilin Liang
Format: Article
Language:English
Published: MDPI AG 2022-08-01
Series:Symmetry
Subjects:
a class of MA-GARCH model
the self-weighted quasi-maximum likelihood estimation
the consistency
asymptotic normatity
Online Access:https://www.mdpi.com/2073-8994/14/8/1723

Internet

https://www.mdpi.com/2073-8994/14/8/1723

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