Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model

Publication date: Available online 3 October 2018Source: Statistics & Probability LettersAuthor(s): Stelios ArvanitisAbstractWe derive the limit theory of the Gaussian QMLE in a non-stationary Asymmetric GARCH(1,1) model when the squared innovation process lies in the domain of attraction of a stable law. When the stability parameter lies in 1,2, we find regularly varying rates and stable limits for the QMLE of the asymmetry and GARCH parameters. When it is less than one we derive total inconsistency.

Source: Statistics and Probability Letters - October 4, 2018 Category: Statistics Source Type: research