Journal
JOURNAL OF STATISTICAL PLANNING AND INFERENCE
Volume 141, Issue 1, Pages 488-507Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.jspi.2010.06.026
Keywords
Conditional heteroskedasticity; Least-squares; Maximum likelihood estimation; Power-transformed volatility; Threshold GARCH
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We consider estimation of a class of power-transformed threshold GARCH models. When the power of the transformation is known, the asymptotic properties of the quasi-maximum likelihood estimator (QMLE) are established under mild conditions. Two sequences of least-squares estimators are also considered in the pure ARCH case, and it is shown that they can be asymptotically more accurate than the QMLE for certain power transformations. In the case where the power of the transformation has to be estimated, the asymptotic properties of the QMLE are proven under the assumption that the noise has a density. The finite-sample properties of the proposed estimators are studied by simulation. (C) 2010 Elsevier B.V. All rights reserved.
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