EGARCH Model with Weighted Liquidity

Abstract

We analyze a variant of the EGARCH model which captures the variation of the intra-day price. We study the asymptotic behavior of the estimators for the parameters of the model. We also illustrate our theoretical results by empirical studies.

Keywords:

• Asymptotic normality
• Consistency
• EGARCH model
• Intr-day price
• Gaussian random variables
• Liquidity
• Maximum likelihood estimator

Mathematics Subject Classification:

• C22
• C51
• 60G18
• 62M99

Acknowledgments

This author beneficiated from financial support from the Romanian Minister of Education and Science via the National Research Council and the Executive Agency for Higher Education Research and Innovation Funding - CNCS-UEFISCDI, Project number PN II-RU -PD 662.

Notes

*Associate member of the team Samm, Université de Paris 1 Panthéon-Sorbonne. Partially supported by the ANR grant “Masterie” BLAN 012103.