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Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model

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  • Baoguo Pan
  • Min Chen

Abstract

This article investigates a quasi-maximum exponential likelihood estimator(QMELE) for a non stationary generalized autoregressive conditional heteroscedastic (GARCH(1,1)) model. Asymptotic normality of this estimator is derived under a non stationary condition. A simulation study and a real example are given to evaluate the performance of QMELE for this model.

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  • Baoguo Pan & Min Chen, 2016. "Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 45(4), pages 1000-1013, February.
    • Handle: RePEc:taf:lstaxx:v:45:y:2016:i:4:p:1000-1013
    DOI: 10.1080/03610926.2013.851225
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