Limit theory for moderate deviation from Integrated GARCH processes

Publication date: Available online 14 March 2019Source: Statistics & Probability LettersAuthor(s): Yubo TaoAbstractThis paper develops the limit theory of the GARCH(1,1) process that moderately deviates from IGARCH process towards both stationary and explosive regimes. The asymptotic theory extends Berkes et al. (2005) by allowing the parameters to have a slower rate of convergence. The results can be applied to unit root test for processes with mildly-integrated GARCH innovations (e.g. Boswijk (2001), Cavaliere and Taylor (2007, 2009)) and deriving limit theory of estimators for models involving mildly-integrated GARCH processes (e.g. Jensen and Rahbek (2004), Francq and Zakoïan (2012, 2013).

Source: Statistics and Probability Letters - March 15, 2019 Category: Statistics Source Type: research