Estimating parameters for a k-GIGARCH process

Abdou Kâ Diongue (1) , Dominique Guegan (2)

1 UGB - Université Gaston Berger de Saint-Louis Sénégal
2 IDHE - Institutions et Dynamiques Historiques de l'Economie

Some crucial time series of market data, such as electricity spot prices, exhibit long memory, in the sense of slowly-decaying correlations combined with heteroscedasticity. To e able to model such a behaviour, we consider the k-factor GIGARCH process and we propose two methods to address the related parameter estimation problem. For each method, we develop the asymptotic theory for this estimation.

Mots clés: GIGARCH process; estimation theory; Electricity spot prices

Domaines: Economies et finances; Probabilités [math.PR]; Statistiques [math.ST]; Théorie [stat.TH]

Abdou Kâ Diongue, Dominique Guegan. Estimating parameters for a k-GIGARCH process. Comptes rendus de l'Académie des sciences. Série I, Mathématique, 2004, 339, pp.435 - 440. ⟨halshs-00188531⟩