Mbodja Mougoue published in Communication in Statistics Research journal

Associate Professor of Finance Dr. Mbodja Mougué's recent co-authored a paper, "Pseudo Maxium Likelihood Estimation and Asymptotic Results of the GARCH (1, 2) Model Under Innovations," has been accepted for publication in the Communication in Statistics: Simulation and Computation Research journal. 

Published since 1972, Communication in Statistics is widely regarded journal that deals with theoretical and methodological advances related to computational aspects of probability and statistics. It publishes 20 issues each year. 

Abstract 

This paper deals with the pseudo maximum likelihood estimation of a GARCH (1,2) model under two reasonably weak, realistic and tractable assumptions: the innovations are dependent albeit conditionally independent, and belong to the quadratic exponential family, which contains several standard distributions. More specifically, the paper derives the consistency and asymptotic normality of the pseudo maximum likelihood estimator (PLME hereafter) under some regularity conditions by means of martingale techniques. Finally, extensive Monte Carlo’s experiments are conducted to examine the finite sample performance of the proposed PMLE.

 

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