Nonstationary ARCH and GARCH with t-Distributed Innovations

Rasmus Pedersen () and Anders Rahbek

No 15-07, Discussion Papers from University of Copenhagen. Department of Economics

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, 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: 29 pages
Date: 2015-04-24
New Economics Papers: this item is included in nep-ecm and 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:kud:kuiedp:1507

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