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

Stelios Arvanitis

Statistics & Probability Letters, 2019, vol. 145, issue C, 166-172

Abstract: We 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.

Keywords: Domain of attraction; Non-stationarity; Gaussian QMLE; Asymmetric GARCH; Inconsistency; Robustness (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2018.09.007

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