Quasi-maximum exponential likelihood estimation for a non stationary GARCH(1, 1) model. Issue 4 (16th February 2016)

• Record Type: Journal Article
• Authors: Pan, Baoguo; Chen, Min
• Is Part Of: Communications in statistics. Volume 45:Issue 4(2016)
• Page Start: 1000
• Page End: 1013
• Publication Date: 2016-02-16
• Subjects: Asymptotic normality -- GARCH models -- Non stationarity -- Quasi-maximum exponential likelihood estimator; Primary 62M10 -- Secondary 62F12; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2013.851225
• Languages: English
• ISSNs: 0361-0926

Abstract

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.