Self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models |
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| Authors: | Baoguo Pan Min Chen |
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| Affiliation: | 1. Academy of Mathematics and Systems Science, Chinese Academy of Science, China;2. Department of Mathematics, Hunan University of Science and Engineering, China |
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| Abstract: | In this paper, a local self-weighted quasi-maximum exponential likelihood estimator for ARFIMA-GARCH models is proposed, asymptotic normality of this estimator is derived under the existence of second moment including stationary and non-stationary cases. A simulation study is given to evaluate the performance of the proposed self-weighted QMELE under the stationary case. |
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| Keywords: | ARFIMA-GARCH Self-weighted quasi-maximum exponential likelihood estimator Asymptotic normality Stationarity |
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