Inference in nonstationary asymmetric GARCH models

DOI10.1214/13-AOS1132zbMATH Open1277.62210arXiv1310.8092OpenAlexW3105863402MaRDI QIDQ385779FDOQ385779

Authors: C. Francq, Jean-Michel Zakoïan 

Publication date: 11 December 2013

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: This paper considers the statistical inference of the class of asymmetric power-transformed $operatornameGARCH(1,1)$ 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.

Full work available at URL: https://arxiv.org/abs/1310.8092

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zbMATH Keywords

nonstationarityinconsistency of estimatorslocal power of testsquasi maximum likelihood estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

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Cited In (35)

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• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
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