Asymptotic Properties of QML Estimation of Multivariate Periodic CCC − GARCH Models

Resumo

In this paper, we explore some probabilistic and statistical properties of constant conditional correlation (CCC) multivariate periodic GARCH models (CCC − PGARCH for short). These models which encompass some interesting classes having (locally) long memory property, play an outstanding role in modelling multivariate financial time series exhibiting certain heteroskedasticity. So, we give in the first part some basic structural properties of such models as conditions ensuring the existence of the strict stationary and geometric ergodic solution (in periodic sense). As a result, it is shown that the moments of some positive order for strictly stationary solution of CCC − PGARCH models are finite.Upon this finding, we focus in the second part on the quasi-maximum likelihood (QML) estimator for estimating the unknown parameters involved in the models. So we establish strong consistency and asymptotic normality (CAN) of CCC − PGARCH models.