Nonstationary ARCH and GARCH with t-Distributed Innovations

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.

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Year of publication:	2015-04-24
Authors:	Pedersen, Rasmus Søndergaard ; Rahbek, Anders
Institutions:	Økonomisk Institut, Københavns Universitet
Subject:	ARCH \| GARCH \| asymptotic normality \| asymptotic theory \| consistency \| t-distribution \| maximum likelihood \| nonstationarity

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Extent:	application/pdf
Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 15-07 29 pages
Classification:	C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011265726