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Estimation of k-factor GIGARCH process : a Monte Carlo study

Author

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  • Abdou Kâ Diongue

    (UGB - Université Gaston Berger de Saint-Louis Sénégal, School of Economics and Finance - QUT - Queensland University of Technology [Brisbane])

  • Dominique Guegan

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - UP1 - Université Paris 1 Panthéon-Sorbonne - ENS-PSL - École normale supérieure - Paris - PSL - Université Paris Sciences et Lettres - EHESS - École des hautes études en sciences sociales - ENPC - École des Ponts ParisTech - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement)

Abstract

In this paper, we discuss the parameter estimation for a k-factor generalized long memory process with conditionally heteroskedastic noise. Two estimation methods are proposed. The first method is based on the conditional distribution of the process and the second is obtained as an extension of Whittle's estimation approach. For comparison purposes, Monte Carlo simulations are used to evaluate the finite sample performance of these estimation techniques.

Suggested Citation

  • Abdou Kâ Diongue & Dominique Guegan, 2008. "Estimation of k-factor GIGARCH process : a Monte Carlo study," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00235179, HAL.
    • Handle: RePEc:hal:cesptp:halshs-00235179
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00235179
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    References listed on IDEAS

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    1. Abdou Kâ Diongue & Dominique Guegan, 2004. "Estimating parameters for a k-GIGARCH process," Post-Print halshs-00188531, HAL.
    2. Fernández, C. & Steel, M.F.J., 1996. "On Bayesian Modelling of Fat Tails and Skewness," Other publications TiSEM 0991c197-c9e8-4904-8119-3, Tilburg University, School of Economics and Management.
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    7. Dominique Guegan & Abdou Kâ Diongue & Bertrand Vignal, 2004. "A k- factor GIGARCH process : estimation and application to electricity market spot prices," Post-Print halshs-00188533, HAL.
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    11. Dominique Guegan, 2000. "A New Model: The k-Factor GIGARCH Process," Post-Print halshs-00199207, HAL.
    12. Dominique Guegan, 2003. "A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates," Post-Print halshs-00201314, HAL.
    13. Laurent Ferrara & Dominique Guegan, 2001. "Comparison of parameter estimation methods in cyclical long memory time series," Post-Print halshs-00196426, HAL.
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    Cited by:

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    2. Heni Boubaker, 2015. "Wavelet Estimation of Gegenbauer Processes: Simulation and Empirical Application," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 551-574, December.

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    More about this item

    Keywords

    Whittle estimation; Long memory; Gegenbauer polynomial; heteeroskedasticity; conditional sum of squares; Whittle estimation.; Processus longue mémoire; hétéroscédasticité; estimation; Whittle.;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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