AM  Vol.5 No.15 , August 2014
Composite Likelihood for Bilinear GARCH Model

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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