AM  Vol.5 No.15 , August 2014
Composite Likelihood for Bilinear GARCH Model
Abstract: In this study, we focus on the class of BL-GARCH models, which is initially introduced by Storti & Vitale [1] in order to handle leverage effects and volatility clustering. First we illustrate some properties of BL-GARCH (1, 2) model, like the positivity, stationarity and marginal distribution; then we study the statistical inference, apply the composite likelihood on panel of BL-GARCH (1, 2) model, and study the asymptotic behavior of the estimators, like the consistency property and the asymptotic normality.
Cite this paper: Bouchemella, A. and Benmostefa, F. (2014) Composite Likelihood for Bilinear GARCH Model. Applied Mathematics, 5, 2311-2317. doi: 10.4236/am.2014.515225.

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