Nonstationary ARCH and GARCH with t-distributed Innovations

Rasmus Pedersen () and Anders Rahbek

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: Consistency and asymptotic normality are established for the maximum likelihood estimators in the nonstationary ARCH and GARCH models with general t-distributed innovations. The results hold for joint estimation of (G)ARCH effects and the degrees of freedom parameter parametrizing the t-distribution. With T denoting sample size, classic square-root T-convergence is shown to hold with closed form expressions for the multivariate covariances.

Keywords: ARCH; GARCH; asymptotic normality; asymptotic theory; consistency; t-distribution; maximum likelihood; nonstationarity (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
Pages: 28
Date: 2015-04-10
New Economics Papers: this item is included in nep-ets
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Working Paper: Nonstationary ARCH and GARCH with t-Distributed Innovations (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2015-27

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