Article ID Journal Published Year Pages File Type
7349794 Economics Letters 2017 9 Pages PDF
Abstract
We derive the limit theory of the Gaussian QMLE in the non-stationary GARCH(1,1) model when the squared innovation process lies in the domain of attraction of a stable law. Analogously to the stationary case, when the stability parameter lies in 1,2, we find regularly varying rates and stable limits for the QMLE of the ARCH and GARCH parameters.
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Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model
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