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AUTHOR(S): Nabill Aiche, Halim Zeghdoudi
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TITLE On the Bilinear Time Series Models Provided by GARCH White Noise: Estimation and Simulation |
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ABSTRACT This work proposes the estimation of a sample of bilinear time series models mixed by a GARCH white noise, where GARCH model was followed by time varying coefficients, this study allows demonstrating some properties and remarks depending on the behavior of the estimators. Moreover, this work will be validated by a simulations study and digital illustrations using the Matlab software |
KEYWORDS Bilinear models, GARCH models, the least squares approach, MLE, time varying coefficients |
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Cite this paper Nabill Aiche, Halim Zeghdoudi. (2020) On the Bilinear Time Series Models Provided by GARCH White Noise: Estimation and Simulation. International Journal of Mathematical and Computational Methods, 5, 38-46 |
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