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Parametric ARMA(p, q)- GARCH(r, s) Models

  • Kenichi Shimizu

Abstract

In this chapter we extend the results of the previous chapter to the parametric ARMA (p, q)-GARCH (r, s) model estimated by the QML method. In the first section we sketch the estimation theory based on Francq and Zakoïan (2004). Then, analogously to the previous chapter, possible applications of the residual and the wild bootstrap are proposed and their weak consistency investigated. These theoretical results are confirmed by simulations in the last section

Keywords

Asymptotic Normality GARCH Model Bootstrap Technique Previous Chapter Weak Consistency 
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Copyright information

© Vieweg+Teubner | GWV Fachverlage GmbH 2010

Authors and Affiliations

  • Kenichi Shimizu

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