Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model

Baoguo Pan and Min Chen

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 4, 1000-1013

Abstract: This article investigates a quasi-maximum exponential likelihood estimator(QMELE) for a non stationary generalized autoregressive conditional heteroscedastic (GARCH(1,1)) model. Asymptotic normality of this estimator is derived under a non stationary condition. A simulation study and a real example are given to evaluate the performance of QMELE for this model.

Date: 2016
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DOI: 10.1080/03610926.2013.851225

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