A1698
Title: Asymptotic theory of the QMLE of the EGARCH-type models
Authors: James Davidson - University of Exeter (United Kingdom)
Xiaoyu Li - Capital University of Economics and Business (China) [presenting]
Abstract: The asymptotic properties of the quasi-maximum-likelihood estimator (QMLE) for the EGARCH-type models, including the EGARCH, HYEGARCH and FIEGARCH(DL) models, are investigated. We first review the literature on the invertibility and asymptotic properties of the EGARCH(1,1) processes and establish the consistency of the QMLE in the HYEGARCH models under mild condition. We also provide an investigation into the asymptotic normality of the QMLE of the HYEGARCH and FIEGARCH(DL) processes. Finally, we demonstrate the finite sample properties of the QMLE for the HY/FIEGARCH(DL)(0,d,0) processes through a Monte Carlo simulation.
