Consistent Estimation for Aggregated GARCH Processes

UCSD Economics Discussion Paper No. 2001-08

43 Pages Posted: 22 Jul 2001

See all articles by Ivana Komunjer

Ivana Komunjer

University of California, San Diego (UCSD) - Department of Economics

Date Written: May 2001

Abstract

We study the properties of a quasi-maximum likelihood (QML) for the parameters of a "weak" GARCH process obtained by contemporaneous aggregation of two independent "strong" GARCH processes. The inconsistency of the Gaussian quasi-likelihood estimator (QMLE) has already been reported by Nijman & Sentana (1996) but has not yet been solved. In this paper we identify the causes of inconsistency of QMLE in the "weak" GARCH case and compare the performance of QMLE when the innovations are assumed to have Gaussian, Laplace (double exponential) or alpha-stable distribution.

Keywords: Aggregation, GARCH, Quasi-Maximum Likelihood, Estimation

JEL Classification: C51, C13, C15, C32

Suggested Citation

Komunjer, Ivana, Consistent Estimation for Aggregated GARCH Processes (May 2001). UCSD Economics Discussion Paper No. 2001-08, Available at SSRN: https://ssrn.com/abstract=276672 or http://dx.doi.org/10.2139/ssrn.276672

Ivana Komunjer (Contact Author)

University of California, San Diego (UCSD) - Department of Economics ( email )

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HOME PAGE: http://econ.ucsd.edu/komunjer

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