A Time-Varying Coefficient Double Threshold GARCH Model with Explanatory Variables
نویسندگان
چکیده
In this article, we consider the nonparametric inference for time-varying coefficient double-threshold generalized autoregressive conditional heteroscedastic models. The quasi-maximum exponential likelihood estimators (QMELEs) of model’s parameters and asymptotic properties are obtained. simulation study implies that distribution is asymptotically normal. A real data application to stock returns given. Both simulations example imply model QMELE proper, compatible accurately fit financial time series Nikkei 225.
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ژورنال
عنوان ژورنال: Axioms
سال: 2023
ISSN: ['2075-1680']
DOI: https://doi.org/10.3390/axioms12050476