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Nonstationary ARCH and GARCH with t-Distributed Innovations

Author

Listed:
  • Rasmus Søndergaard Pedersen

    (Department of Economics, University of Copenhagen)

  • Anders Rahbek

    (Department of Economics, University of Copenhagen)

Abstract

Consistency and asymptotic normality are established for the maximum likelihood estimators in the nonstationary ARCH and GARCH models with general t-distributed innovations. The results hold for joint estimation of (G)ARCH effects and the degrees of freedom parameter parametrizing the t-distribution. With T denoting sample size, square root T-convergence is shown to hold with closed form expressions for the multivariate covariances.

Suggested Citation

  • Rasmus Søndergaard Pedersen & Anders Rahbek, 2015. "Nonstationary ARCH and GARCH with t-Distributed Innovations," Discussion Papers 15-07, University of Copenhagen. Department of Economics.
    • Handle: RePEc:kud:kuiedp:1507
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    References listed on IDEAS

    as
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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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