Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models

Hui Wang and Jiazhu Pan

Statistics & Probability Letters, 2014, vol. 91, issue C, 117-123

Abstract: Although quasi maximum likelihood estimator based on Gaussian density (G-QMLE) is widely used to estimate GARCH-type models, it does not perform successfully when error distribution is either skewed or leptokurtic. This paper proposes normal mixture quasi-maximum likelihood estimator (NM-QMLE) for non-stationary TGARCH(1,1) models. We show that, under mild regular conditions, there is no consistent estimator for the intercept, and the proposed estimator for any other parameter is consistent.

Keywords: Non-stationary TGARCH models; NM-QMLE; Consistency (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1016/j.spl.2014.03.027

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