Nonstationary GARCH with t-distributed innovations

Rasmus Pedersen () and Anders Rahbek

Economics Letters, 2016, vol. 138, issue C, 19-21

Abstract: We consider joint estimation of the GARCH parameters and the degrees of freedom parameter in the GARCH model with t-distributed innovations for the nonstationary case. With T denoting the sample size, T-consistency and asymptotic normality are derived for the estimators of the GARCH parameters jointly with the degrees of freedom parameter. Thus consistency and asymptotic normality at the standard rate hold for both the nonstationary case as well as for the stationary case treated in existing literature. Finally, an explicit formula is given for the asymptotic covariance matrix.

Keywords: Asymptotic theory; GARCH; Maximum likelihood; Nonstationarity; t-distribution (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:138:y:2016:i:c:p:19-21

DOI: 10.1016/j.econlet.2015.11.016

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