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Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

Author

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  • Christian Francq

    (CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - Groupe ENSAE-ENSAI - Groupe des Écoles Nationales d'Économie et Statistique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - Groupe ENSAE-ENSAI - Groupe des Écoles Nationales d'Économie et Statistique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique, IP Paris - Institut Polytechnique de Paris)

  • Jean-Michel Zakoïan

    (LFA - Laboratoire de Finance Assurance - Centre de Recherche en Économie et Statistique (CREST) - Groupe ENSAE-ENSAI - Groupe des Écoles Nationales d'Économie et Statistique, EQUIPPE - Economie Quantitative, Intégration, Politiques Publiques et Econométrie - Université de Lille, Sciences et Technologies - Université de Lille, Sciences Humaines et Sociales - PRES Université Lille Nord de France - Université de Lille, Droit et Santé)

Abstract

No abstract is available for this item.

Suggested Citation

  • Christian Francq & Jean-Michel Zakoïan, 2004. "Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes," Post-Print hal-05431371, HAL.
    • Handle: RePEc:hal:journl:hal-05431371
    DOI: 10.3150/bj/1093265632
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    Citations

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    Cited by:

    1. Hafner, Christian & Harvey, Andrew & Wang, Linqi, 2025. "Modeling prices from speculative markets: bursting bubbles or deflating balloons?," LIDAM Discussion Papers ISBA 2025008, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Alexander Mayer & Davide Raggi, 2025. "Estimation and inference in models with multiple behavioural equilibria," Papers 2512.04541, arXiv.org, revised Mar 2026.
    3. de Vilmarest, Joseph & Werge, Nicklas, 2025. "An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition," International Journal of Forecasting, Elsevier, vol. 41(4), pages 1514-1520.
    4. Thomas Giroux & Julien Royer & Olivier David Zerbib, 2024. "Empirical Asset Pricing with Score-Driven Conditional Betas," Post-Print hal-05415058, HAL.
    5. Christian Francq & Genaro Sucarrat, 2018. "An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 129-154.

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