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Moving Average Model with an Alternative GARCH-Type Error

Author

Listed:
  • Zhu Huafeng

    (School of Economics and Statistics, Guangzhou University, Guangzhou510006, China)

  • Zhang Xingfa

    (School of Economics and Statistics, Guangzhou University, Guangzhou510006, China)

  • Liang Xin

    (School of Economics and Statistics, Guangzhou University, Guangzhou510006, China)

  • Li Yuan

    (School of Economics and Statistics, Guangzhou University, Guangzhou510006, China)

Abstract

Motivated by the double autoregressive model with order p (DAR(p) model), in this paper, we study the moving average model with an alternative GARCH error. The model is an extension from DAR(p) model by letting the order p goes to infinity. The quasi maximum likelihood estimator of the parameters in the model is shown to be asymptotically normal, without any strong moment conditions. Simulation results confirm that our estimators perform well. We also apply our model to study a real data set and it has better fitting performance compared to DAR model for the considered data.

Suggested Citation

  • Zhu Huafeng & Zhang Xingfa & Liang Xin & Li Yuan, 2018. "Moving Average Model with an Alternative GARCH-Type Error," Journal of Systems Science and Information, De Gruyter, vol. 6(2), pages 165-177, April.
    • Handle: RePEc:bpj:jossai:v:6:y:2018:i:2:p:165-177:n:5
    DOI: 10.21078/JSSI-2018-165-13
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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