An Alternative GARCH-in-Mean Model: Structure and Estimation

We study a special case of the GARCH-in-Mean model proposed by Christensen et al. ( 2012 ), where a different specification for the conditional variance was adopted as compared to the traditional GARCH-M model. The conditions about geometric ergodicity are discussed and by checking the conditions of...

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Bibliographic Details
Published in:Communications in statistics. Theory and methods 2013-05, Vol.42 (10), p.1821-1838
Main Authors: Zhang, Xingfa, Wong, Heung, Li, Yuan, Ip, Wai-Cheung
Format: Article
Language:English
Subjects:
Asymptotic normality
Asymptotic properties
Computer simulation
Econometrics
Economic models
Empirical analysis
GARCH-in-Mean model
Geometric ergodicity
Normality
Primary 62F12
QMLE
Secondary 60J10
Specifications
Statistics
Variance
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Summary:We study a special case of the GARCH-in-Mean model proposed by Christensen et al. ( 2012 ), where a different specification for the conditional variance was adopted as compared to the traditional GARCH-M model. The conditions about geometric ergodicity are discussed and by checking the conditions of Lemma A.1 in Jensen and Rahbek ( 2004 ), the asymptotic normality of the quasi maximum likelihood estimators for the model is established. Simulations demonstrate that the estimation procedure performs well and the given empirical studies indicate the considered model can have comparable performance in data modeling as compared to the standard one.
ISSN:0361-0926
1532-415X
DOI:10.1080/03610926.2011.598999