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

被引：0
|
作者：
Arvanitis, Stelios [1 ]
机构：
[1] AUEB, Dept Econ, Patis Str 76,POB 10434, Athens, Greece
来源：
STATISTICS & PROBABILITY LETTERS | 2019年 / 145卷
关键词：
Domain of attraction; Non-stationarity; Gaussian QMLE; Asymmetric GARCH; Inconsistency; Robustness; INFERENCE;
D O I：
10.1016/j.spl.2018.09.007
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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. (C) 2018 Elsevier B.V. All rights reserved.
引用
收藏
页码：166 / 172
页数：7
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