Limits for the Gaussian QMLE in the Non-Stationary GARCH(1,1) Mod

Stelios Stelios and Alexandros Louka
Additional contact information
Stelios Stelios: Athens University of Economics and Business

No 201705, Working Papers from Athens University Of Economics and Business, Department of Economics

Abstract: We derive the limit theory of the Gaussian QMLE in the non-stationary GARCH(1,1) model when the square dinnovation process lies in the domain of attraction of a stable law. Analogously to the stationary case, when the stability parameter lies in (1, 2], we find regularly varying rates and stable limits for the QMLE of the ARCH and GARCH parame- ters.

Keywords: Martingale Limit Theorem; Domain of Attraction; Stable Distribution; Slowly Varying Sequence; Non-Stationarity; Gaussian QMLE; Regularly Varying Rate. (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2017-05
New Economics Papers: this item is included in nep-ecm
References: Add references at CitEc
Citations:

Forthcoming

Downloads: (external link)
http://www2.econ.aueb.gr/uploadfiles/AllDP052017 Released version, 2017 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aeb:wpaper:201705:y:2017

Access Statistics for this paper

More papers in Working Papers from Athens University Of Economics and Business, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Katerina Michailidou ().