A note on asymptotic inference for FIGARCH(p, d, q) models

Abstract

Parameters estimation for a FIGARCH(p, d, q) model is studied in this paper. By constructing a compact parameter space Θ satisfying the non-negativity constraints for the FIGARCH model, it is shown that the results of Robinson and Zaffaroni (2006) can be applied to establish the strong consistency and asymptotic normality of the quasi-maximum likelihood (QML) estimator of the FIGARCH model.