Estimating parameters of a <i>k</i>-factor GIGARCH process

Abdou Kâ Diongue; Dominique Guégan

doi:10.1016/j.crma.2004.07.014

Statistics/Probability Theory

Estimating parameters of a k-factor GIGARCH process

Presented by: Paul Deheuvels

Abdou Kâ Diongue ^1,²; Dominique Guégan ¹

¹ ENS Cachan IDHE-MORA, UMR CNRS 8533, 61, avenue du président Wilson, 94231 Cachan cedex, France
² EDF R&D, 1, avenue du général de Gaulle, 92141 Clamart cedex, France

Comptes Rendus. Mathématique, Volume 339 (2004) no. 6, pp. 435-440.

Abstract
Résumé

Some crucial time series of market data, such as electricity spot prices, exhibit long-memory, in the sense of slowly-decaying correlations combined with heteroskedasticity. To be able to modelize such a behaviour, we consider in this Note the k-factor GIGARCH process and we propose two methods to address the related parameter estimation problem. For each method, we develop the asymptotic theory for the estimation.

Plusieurs données de marché, telles que les prix spot de l'électricité, présentent de la longue mémoire, au sens de la décroissance hyperbolique des autocorrélations combinée avec un phénomène d'hétéroskédasticité. Pour modéliser de tels comportements, nous considérons dans cette Note les processus GIGARCH à k facteurs et nous proposons deux méthodes d'estimation des paramètres de ce modèle. Enfin, nous développons les propriétés asymptotiques de ces estimateurs.

Received: 2004-01-13
Accepted: 2004-07-12
Published online: 2004-08-26

DOI: 10.1016/j.crma.2004.07.014

Author's affiliations:

Abdou Kâ Diongue ^{1, 2}; Dominique Guégan ¹

¹ ENS Cachan IDHE-MORA, UMR CNRS 8533, 61, avenue du président Wilson, 94231 Cachan cedex, France
² EDF R&D, 1, avenue du général de Gaulle, 92141 Clamart cedex, France

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     author = {Abdou K\^a Diongue and Dominique Gu\'egan},
     title = {Estimating parameters of a \protect\emph{k}-factor {GIGARCH} process},
     journal = {Comptes Rendus. Math\'ematique},
     pages = {435--440},
     publisher = {Elsevier},
     volume = {339},
     number = {6},
     year = {2004},
     doi = {10.1016/j.crma.2004.07.014},
     language = {en},
}

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Abdou Kâ Diongue; Dominique Guégan. Estimating parameters of a k-factor GIGARCH process. Comptes Rendus. Mathématique, Volume 339 (2004) no. 6, pp. 435-440. doi : 10.1016/j.crma.2004.07.014. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2004.07.014/

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