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Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model

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  • Arvanitis, Stelios

Abstract

We derive the limit theory of the Gaussian QMLE in a non-stationary Asymmetric GARCH(1,1) model when the squared innovation process lies in the domain of attraction of a stable law. When the stability parameter lies in 1,2, we find regularly varying rates and stable limits for the QMLE of the asymmetry and GARCH parameters. When it is less than one we derive total inconsistency.

Suggested Citation

  • Arvanitis, Stelios, 2019. "Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 166-172.
    • Handle: RePEc:eee:stapro:v:145:y:2019:i:c:p:166-172
    DOI: 10.1016/j.spl.2018.09.007
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