Inference in nonstationary asymmetric GARCH models
From MaRDI portal
Publication:385779
Abstract: This paper considers the statistical inference of the class of asymmetric power-transformed models in presence of possible explosiveness. We study the explosive behavior of volatility when the strict stationarity condition is not met. This allows us to establish the asymptotic normality of the quasi-maximum likelihood estimator (QMLE) of the parameter, including the power but without the intercept, when strict stationarity does not hold. Two important issues can be tested in this framework: asymmetry and stationarity. The tests exploit the existence of a universal estimator of the asymptotic covariance matrix of the QMLE. By establishing the local asymptotic normality (LAN) property in this nonstationary framework, we can also study optimality issues.
Recommendations
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Statistical inference for non-stationary GARCH(\(p\),\(q\)) models
- Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
- Structure and estimation of a class of nonstationary yet nonexplosive GARCH models
- Asymptotic theory of univariate GARCH estimation: stationary and nonstationary case
Cites work
- scientific article; zbMATH DE number 2148871 (Why is no real title available?)
- scientific article; zbMATH DE number 765034 (Why is no real title available?)
- A Class of Nonlinear Arch Models
- A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Adaptive estimation in time-series models
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- Asymptotic Statistics
- Asymptotic inference for a nonstationary double AR(1) model
- Asymptotic inference of unstable periodic ARCH processes
- Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes
- Augmented GARCH sequences: Dependence structure and asymptotics
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Efficient estimation in semiparametric GARCH models
- Estimation and tests for power-transformed and threshold GARCH models
- GARCH processes: structure and estimation
- Generalized autoregressive conditional heteroscedasticity
- Inconsistency of the MLE and inference based on weighted LS for LARCH models
- Inference in nonstationary asymmetric GARCH models
- Nonparametric estimation in a nonlinear cointegration type model
- Nonparametric estimation in null recurrent time series.
- Offline and online weighted least squares estimation of nonstationary power ARCH processes
- On Efficient Inference in GARCH Processes
- On adaptive estimation in nonstationary ARMA models with GARCH errors
- Power transformation and threshold modeling for ARCH innovations with applications to tests for ARCH structure.
- Quasi-likelihood estimation in stationary and nonstationary autoregressive models with random coefficients
- Strict stationarity of generalized autoregressive processes
- Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
- Testing for a unit root in time series regression
Cited in
(35)- Renorming volatilities in a family of GARCH models
- Asymptotic properties of \textit{QMLE} for seasonal threshold \textit{GARCH} model with periodic coefficients
- Estimation and strict stationarity testing of ARCH processes based on weighted least squares
- Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations
- Strict stationarity testing and GLAD estimation of double autoregressive models
- Asymptotics for semi-strong augmented GARCH(1,1) model
- Hybrid quantile estimation for asymmetric power GARCH models
- Inference for asymmetric exponentially weighted moving average models
- Power periodic threshold GARCH model: structure and estimation
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models
- Stationarity and ergodicity of univariate generalized autoregressive score processes
- Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model
- scientific article; zbMATH DE number 2067826 (Why is no real title available?)
- Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model
- Cointegration models with non Gaussian GARCH innovations
- Testing the existence of moments for GARCH processes
- Limit theory for moderate deviation from integrated GARCH processes
- The ZD-GARCH model: a new way to study heteroscedasticity
- GARCH modelling of covariance in dynamical estimation of inverse solutions
- On dynamics of volatilities in nonstationary GARCH models
- Inference in nonstationary asymmetric GARCH models
- Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
- Statistical inference for measurement equation selection in the log-RealGARCH model
- Preliminary Multiple-Test Estimation, With Applications to k-Sample Covariance Estimation
- Nonstationary GARCH with \(t\)-distributed innovations
- Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
- Statistical inference for non-stationary GARCH(\(p\),\(q\)) models
- Quadratic random coefficient autoregression with linear-in-parameters volatility
- On an asymmetric functional-coefficient ARCH-M model
- Strict stationarity and mixing properties of asymmetric power GARCH models allowing a signed volatility
- Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes
- Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
- Restricted normal mixture QMLE for non-stationary TGARCH(1,1) models
- Asymmetric linear double autoregression
This page was built for publication: Inference in nonstationary asymmetric GARCH models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q385779)
