Smoothed empirical likelihood for GARCH models with heavy-tailed errors |
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| Authors: | Jinyu Li Xingtong Chen Song Zhu |
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| Institution: | 1. School of Sciences, China University of Mining and Technology, Xuzhou, Chinaljycumt@163.com;3. School of Sciences, China University of Mining and Technology, Xuzhou, China |
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| Abstract: | ABSTRACTThis paper proposes an empirical likelihood (EL) method for estimating the GARCH(p, q) models with heavy-tailed errors. Using the kernel smoothing method, we derive a smoothed EL ratio statistic, which yields a smoothed EL estimator. Moreover, we derive a profile EL for the partial parameters in the presence of nuisance parameters. Simulations and empirical results are conducted to illustrate our proposed method. |
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| Keywords: | Confidence region Empirical likelihood GARCH Heavy-tail |
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