Estimation and tests for power-transformed and threshold GARCH models

作者：Pan, Jiazhu^*; Wang, Hui; Tong, Howell

来源：Journal of Econometrics, 2008, 142(1): 352-378.

DOI：10.1016/j.jeconom.2007.06.004

• threshold GARCH
• power transformation
• asymptotic normality
• quasi-maximum likelihood estimator
• least absolute deviations estimation
• Wald test
• order selection
• PTTGARCH structure

Consider a class of power-transformed and threshold GARCH(p, q) (PTTGRACH(p, q)) model, which is a natural generalization of power-transformed and threshold GARCH(l, I) model in Hwang and Basawa [2004. Stationarity and moment structure for Box-Cox transformed threshold GARCH(l,l) processes. Statistics & Probability Letters 68, 209-220.] and includes the standard GARCH model and many other models as special cases. We first establish the asymptotic normality for quasi-maximum likelihood estimators (QMLE) of the parameters under the condition that the error distribution has finite fourth moment. For the case of heavy-tailed errors, we propose a least absolute deviations estimation (LADE) for PTTGARCH(p, q) model, and prove that the LADE is asymptotically normally distributed under very weak moment conditions. This paves the way for a statistical inference based on asymptotic normality for heavy-tailed PTTGARCH(p, q) models. As a consequence, we can construct the Wald test for GARCH structure and discuss the order selection problem in heavy-tailed cases. Numerical results show that LADE is more accurate than QMLE for heavy-tailed errors. Furthermore, the theory is applied to the daily returns of the Hong Kong Hang Seng Index, which suggests that asymmetry and nonlinearity could be present in the financial time series and the PTTGARCH model is capable of capturing these characteristics. As for the probabilistic structure of PTTGARCH(p, q) model, we give in the appendix a necessary and sufficient condition for the existence of a strictly stationary solution of the model, the existence of the moments and the tail behavior of the strictly stationary solution.

• 出版日期2008-1
• 单位北京大学