zbMATH — the first resource for mathematics

Empirical likelihood parametric estimations for GARCH-M models. (Chinese. English summary) Zbl 1313.62122
Summary: We study inference on parameters of GARCH-M models in this paper. The empirical likelihood method is used to construct test statistics. Under mild conditions, statistics are shown to have asymptotic $$\chi^2$$ distributions. Based on these statistics, test statistics for the relative risk aversion $$\delta$$ of a market are constructed by profile likelihood idea and are shown to be asymptotically distributed as $$\chi^2$$ distribution. Simulations show that the proposed empirical likelihood statistics behave well.
MSC:
 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) 62F10 Point estimation 62F12 Asymptotic properties of parametric estimators 62P20 Applications of statistics to economics