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Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1,1) model |
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| Authors: | Baoguo Pan Min Chen |
| Affiliation: | 1. School of Mathematics and Statistics, Hubei Engineering University, Xiaogan, China;2. Academy of Mathematics and Systems Science, University of Chinese Academy of Sciences, Beijing, Chinapbgpbg2003@163.com;4. Academy of Mathematics and Systems Science, University of Chinese Academy of Sciences, Beijing, China;5. School of Statistics, Capital University of Economics and Finance, Beijing, China |
| Abstract: | ABSTRACTThis 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. |
| Keywords: | Asymptotic normality GARCH models Non stationarity Quasi-maximum exponential likelihood estimator |