Statistical inference for non-stationary GARCH(\(p\),\(q\)) models

DOI10.1214/09-EJS452zbMath1326.62184MaRDI QIDQ1952010

Chi Tim Ng, Ngai Hang Chan

Publication date: 27 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1253195941

zbMATH Keywords

consistencyasymptotic normalityquasi-maximum likelihood estimatorproduct of random matricesOseledec's multiplicative ergodic theoremnon-stationary GARCH model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (9)

Asymptotic properties of QML estimation of multivariate periodic CCC-GARCH models ⋮ RENORMING VOLATILITIES IN A FAMILY OF GARCH MODELS ⋮ QMLE for periodic absolute value GARCH models ⋮ A note on the QMLE limit theory in the non-stationary ARCH(1) model ⋮ Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models ⋮ QMLE for periodic time-varying asymmetric log GARCH models ⋮ Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients ⋮ Double AR model without intercept: An alternative to modeling nonstationarity and heteroscedasticity ⋮ QMLE of periodic time-varying bilinear– GARCH models

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• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• Convergence of stochastic processes

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