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| HAL : hal-00750015, version 2 |
| arXiv : 1211.2060 |
| Fiche détaillée |  Récupérer au format |
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| Versions disponibles : | v1 (09-11-2012) | v2 (10-04-2013) |
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| GARCH models without positivity constraints: Exponential or Log GARCH? |
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| Christian Francq 1, 2Olivier Wintenberger 1, 3 |
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| (08/11/2012) |
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| This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on multiplicative volatility dynamics without positivity constraints. We compare the main probabilistic properties (strict stationarity, existence of moments, tails) of the EGARCH model, which are already known, with those of an asymmetric version of the log-GARCH. The quasi-maximum likelihood estimation of the log-GARCH parameters is shown to be strongly consistent and asymptotically normal. Similar estimation results are only available for particular EGARCH models, and under much stronger assumptions. The comparison is pursued via simulation experiments and estimation on real data. |
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| 1 : | Laboratoire de Finance Assurance (LFA) |
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Centre de Recherche en Économie et STatistique (CREST) |
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| 2 : | ECONOMIE QUANTITATIVE, INTEGRATION, POLITIQUES PUBLIQUES ET ECONOMETRIE (EQUIPPE) |
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Université Lille I - Sciences et technologies |
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| 3 : | CEntre de REcherches en MAthématiques de la DEcision (CEREMADE) |
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CNRS : UMR7534 – Université Paris IX - Paris Dauphine |
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| Domaine | : | Mathématiques/Statistiques Statistiques/Théorie |
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| EGARCH – log-GARCH – Quasi-Maximum Likelihood – Strict stationarity – Tail index |
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| Liste des fichiers attachés à ce document : | |||||
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| hal-00750015, version 2 | |
| http://hal.archives-ouvertes.fr/hal-00750015 | |
| oai:hal.archives-ouvertes.fr:hal-00750015 | |
| Contributeur : Olivier Wintenberger | |
| Soumis le : Mercredi 10 Avril 2013, 09:38:42 | |
| Dernière modification le : Mercredi 10 Avril 2013, 11:34:52 | |
