Limit theory for moderate deviation from integrated GARCH processes

DOI10.1016/J.SPL.2019.03.001MaRDI QIDQ2322613zbMATH OpenOpenAlexWikidataFDO

Authors Yubo Tao

Publication date 5 September 2019

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1806.01229

zbMATH Keywords

central limit theoremexplosive GARCHlimiting processlocalizationvolatility process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Abstract: This paper develops the limit theory of the GARCH(1,1) process that moderately deviates from IGARCH process towards both stationary and explosive regimes. The GARCH(1,1) process is defined by equations $u_t=sigm{a}_{t}varepsilo{n}_t$, $$ and $$ approaches to unity as sample size goes to infinity. The asymptotic theory developed in this paper extends Berkes et al. (2005) by allowing the parameters to have a slower convergence rate. The results can be applied to unit root test for processes with mildly-integrated GARCH innovations (e.g. Boswijk (2001), Cavaliere and Taylor (2007, 2009)) and deriving limit theory of estimators for models involving mildly-integrated GARCH processes (e.g. Jensen and Rahbek (2004), Francq and Zako"ian (2012, 2013)).

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Cited in

(3)

• Limit theory for moderate deviations from a unit root
• Limit theory for a general class of GARCH models with just barely infinite variance
• The Calculation of Some Limiting Distributions Arising in Near‐Integrated Models with GLS Detrending

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