GARCH models without positivity constraints: Exponential or Log GARCH?

Abstract : 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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Preprints, Working Papers, ...
2012


https://hal.archives-ouvertes.fr/hal-00750015
Contributor : Olivier Wintenberger <>
Submitted on : Wednesday, April 10, 2013 - 9:38:42 AM
Last modification on : Friday, January 30, 2015 - 9:11:23 AM

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  • HAL Id : hal-00750015, version 2
  • ARXIV : 1211.2060

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Christian Francq, Olivier Wintenberger, Jean-Michel Zakoïan. GARCH models without positivity constraints: Exponential or Log GARCH?. 2012. <hal-00750015v2>

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