Abstract
This paper studies the quasi-maximum likelihood estimator (QMLE) of non-stationary GARCH(p,q) models. By expressing GARCH models in matrix form, the log-likelihood function is written in terms of the product of random matrices. Oseledec’s multiplicative ergodic theorem is then used to establish the asymptotic properties of the log-likelihood function and thereby, showing the weak consistency and the asymptotic normality of the QMLE for non-stationary GARCH(p,q) models.
Citation
Ngai Hang Chan. Chi Tim Ng. "Statistical inference for non-stationary GARCH(p,q) models." Electron. J. Statist. 3 956 - 992, 2009. https://doi.org/10.1214/09-EJS452
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