摘要
非对称的GARCH模型的估计一般采用拟极大似然估计,这种估计的相合性及渐近正态性结论已经出现在很多文献中.本文对这种模型提出一种新的估计方法-加权拟极大似估计,在一定条件下证明了非对称的GARCH模型的加权拟极大似然估计的相合性和渐近正态性.
The parameters estimation of the asymmetric GARCH Model is Usually carried out by quasi-maximum like-hood estimator, the results about the consistency and asymptotic normality of the estimator have been found in many papers. A new estimation method of the model is proposed, which is called as a weighted quasi-maximum likelihood estimator. The consistency and asymptotic normality of the estimator of the asymmetric GARCH Model are proved under some conditions.
出处
《吉林师范大学学报（自然科学版）》
2009年第4期12-17,47,共7页
Journal of Jilin Normal University:Natural Science Edition
基金
湖南省教育厅自然科学基金项目(09C443)
关键词
GARCH
渐近正态性
相合性
拟极大似然估计
GARCH
asymptotic normality
consistency
quasi-maximum likelihood estimation
