Statistics and Its Interface
Volume 4 (2011)
A note on asymptotic inference for FIGARCH($p, d, q$) models
Pages: 227 – 233
Parameters estimation for a FIGARCH($p, d, q$) model is studied in this paper. By constructing a compact parameter space Θ satisfying the non-negativity constraints for the FIGARCH model, it is shown that the results of Robinson and Zaffaroni (2006) can be applied to establish the strong consistency and asymptotic normality of the quasi-maximum likelihood (QML) estimator of the FIGARCH model.
asymptotic normality, consistency, fractionally-integrated GARCH model, nonnegativity, quasi-maximum likelihood estimator
2010 Mathematics Subject Classification
Primary 62E20, 62F12. Secondary 91B84.