M-estimation for Periodic GARCH Model with High-frequency Data  

作　　者：Peng-ying FAN Si-xin WU Zi-long ZHAO Min CHEN 

机构地区：[1]School of Economics, Beijing Technology and Business University [2]Academy of Mathematics and Systems Science, Chinese Academy of Sciences

出　　处：《Acta Mathematicae Applicatae Sinica》2017年第3期717-730,共14页应用数学学报（英文版）

基　　金：Supported by the National Natural Science Foundation of China(No.71673315);Foundation of Beijing Technology and Business University(LKJJ2016-03);Capital Circulation Research Base(JD-YB-2017-016)

摘　　要：This paper studies an M-estimator of a proxy periodic GARCH （p, q） scaling model and establishes its consistency and asymptotic normality. Simulation studies are carried out to assess the performance of the estimator. The numerical results show that our M-estimator is more efficient and robust than other estimators without the use of high-frequency data.This paper studies an M-estimator of a proxy periodic GARCH （p, q） scaling model and establishes its consistency and asymptotic normality. Simulation studies are carried out to assess the performance of the estimator. The numerical results show that our M-estimator is more efficient and robust than other estimators without the use of high-frequency data.

关 键 词：asymptotic normality CONSISTENCY high-frequency data PGARCH model M-ESTIMATOR 

分 类 号：O212[理学—概率论与数理统计]