Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods

@inproceedings{Fan2014QuasiMaximumLE,
  title={Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods},
  author={Jianqing Fan and Lei Lei Qi and Dacheng Xiu},
  year={2014}
}
The non-Gaussian maximum likelihood estimator is frequently used in GARCH models with the intention of capturing heavy-tailed returns. However, unless the parametric likelihood family contains the true likelihood, the estimator is inconsistent due to density misspecification. To correct this bias, we identify an unknown scale parameter ηf that is critical to the identification for consistency and propose a three-step quasi-maximum likelihood procedure with non-Gaussian likelihood functions… CONTINUE READING

Figures and Tables from this paper.

Citations

Publications citing this paper.
SHOWING 1-10 OF 39 CITATIONS

Asymptotic Theory for Beta-t-GARCH

VIEW 4 EXCERPTS
CITES BACKGROUND
HIGHLY INFLUENCED