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Estimation of k-Factor Gigarch Process: A Monte Carlo Study

Author

Listed:
  • Diongue Abdou Ka

    (UGB - Université Gaston Berger de Saint-Louis Sénégal)

  • 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 processwith 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, using four different conditional distribution functions.

Suggested Citation

  • Diongue Abdou Ka & Dominique Guegan, 2008. "Estimation of k-Factor Gigarch Process: A Monte Carlo Study," Post-Print halshs-00375758, HAL.
    • Handle: RePEc:hal:journl:halshs-00375758
    DOI: 10.1080/03610910802304994
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00375758
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    References listed on IDEAS

    as
    1. Abdou Kâ Diongue & Dominique Guegan, 2004. "Estimating parameters for a k-GIGARCH process," Post-Print halshs-00188531, HAL.
    2. 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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    8. Laurent Ferrara & Dominique Guegan, 2001. "Comparison of parameter estimation methods in cyclical long memory time series," Post-Print halshs-00196426, HAL.
    9. Hansen, Bruce E, 1994. "Autoregressive Conditional Density Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-730, August.
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