Comptes Rendus
Statistics
A conditional least squares approach to PGARCH and PARMAPGARCH time series estimation
[L'estimateur des moindres carrés conditionnels dans les modèles PGARCH et PARMAPGARCH]
Comptes Rendus. Mathématique, Volume 348 (2010) no. 21-22, pp. 1211-1216.

Dans cette Note, on étudie l'estimateur des moindres carrés conditionnels (CLS) dans les modèles GARCH périodiques (PGARCH) dont le carré centré des innovations est une différence de martingale. Cette approche est étendue aux modèles PARMAPGARCH. La consistance forte et la normalité asymptotique ont été établies.

In this Note, a conditional least squares (CLS) estimates for periodic GARCH (PGARCH) models with martingale difference centered squared innovations is developed. The approach is extended to the PARMAPGARCH models. We establish the strong consistency and the asymptotic normality for our estimate.

Reçu le :
Accepté le :
Publié le :
DOI : 10.1016/j.crma.2010.10.019

Abdelouahab Bibi 1 ; Ines Lescheb 1

1 Département de Mathématiques, Université Mentouri Constantine, Algeria
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     title = {A conditional least squares approach to {\protect\emph{PGARCH}} and {\protect\emph{PARMA}{\textendash}\protect\emph{PGARCH}} time series estimation},
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Abdelouahab Bibi; Ines Lescheb. A conditional least squares approach to PGARCH and PARMAPGARCH time series estimation. Comptes Rendus. Mathématique, Volume 348 (2010) no. 21-22, pp. 1211-1216. doi : 10.1016/j.crma.2010.10.019. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2010.10.019/

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