A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model”

Francisco Blasques (f.blasques@vu.nl), Paolo Gorgi, Siem Jan Koopman and Olivier Wintenberger
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Paolo Gorgi: VU University Amsterdam, the Netherlands, University of Padua, Italy

No 15-131/III, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: We revisit Wintenberger (2013) on the continuous invertibility of the EGARCH(1,1) model. We note that the definition of continuous invertibility adopted in Wintenberger (2013) may not always be sufficient to deliver strong consistency of the QMLE. We also take the opportunity to provide other small clarifications and additions.

Keywords: invertibility; quasi-maximum likelihood estimator; volatility models (search for similar items in EconPapers)
JEL-codes: C01 C22 C51 (search for similar items in EconPapers)
Date: 2015-12-11
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (3)

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