MMN-4747
M-estimation in periodic Threshold GARCH models: Consistency and asymptotic normality
Ahmed Ghezal; Imane Zemmouri;Abstract
The present paper derives convergence rates and asymptotic normality of a class of M-estimators in the periodic asymmetric GARCH model. Simulation studies are conducted for evaluating the performance of the estimator. Finally, an empirical study on the exchange rates of the Algerian Dinar against the U.S-dollar and the single European currency (Euro) illustrates the usefulness of the periodic TGARCH model.
Vol. 26 (2025), No. 1, pp. 229-242