Open AccessNonstationary ARCH and GARCH with t-Distributed Innovations
Author(s) -
Rasmus Søndergaard Pedersen,
Anders Rahbek
Publication year - 2015
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.2598172
Subject(s) - arch , autoregressive conditional heteroskedasticity , econometrics , computer science , economics , engineering , volatility (finance) , structural engineering
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.
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