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Andrius Škarnulis

Publications and source records attributed to Andrius Škarnulis.

2 recordsLinked to original sources

A generalized nonlinear model for long memory conditional heteroscedasticity

We study the existence and properties of stationary solution of ARCH-type equation $r_t= ζ_t σ_t$, where $ζ_t$ are standardized i.i.d. r.v.'s and the conditional variance satisfies an AR(1) equation $σ^2_t = Q^2\big(a + \sum_{j=1}^\infty b_j r_{t-j}\big) + γσ^2_{t-1}$ with a Lipschitz function $Q(x)$ and real parameters $a, γ, b_j $. The paper extends the model and the results in Doukhan et al. (2015) from the case $γ= 0$ to the case $0< γ< 1$. We also obtain a new condition for the existence of higher moments of $r_t$ which does not include the Rosenthal constant. In particular case when $Q$ is the square root of a quadratic polynomial, we prove that $r_t$ can exhibit a leverage effect and long memory. We also present simulated trajectories and histograms of marginal density of $σ_t$ for different values of $γ$.

math.ST↗

Quasi-MLE for quadratic ARCH model with long memory

We discuss parametric quasi-maximum likelihood estimation for quadratic ARCH process with long memory introduced in Doukhan et al. (2015) and Grublytė and Škarnulis (2015) with conditional variance given by a strictly positive quadratic form of observable stationary sequence. We prove consistency and asymptotic normality of the corresponding QMLE estimates, including the estimate of long memory parameter $0< d < 1/2$. A simulation study of empirical MSE is included.

math.ST↗