Estimating parameters of a k-factor GIGARCH process

Some crucial time series of market data, such as electricity spot prices, exhibit long-memory, in the sense of slowly-decaying correlations combined with heteroskedasticity. To be able to modelize such a behaviour, we consider in this Note 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 the estimation. To cite this article: A.K. Diongue, D. Guégan, C. R. Acad. Sci. Paris, Ser. I 339 (2004).