Nonstationary GARCH with t-distributed innovations

TY - JOUR

T1 - Nonstationary GARCH with t-distributed innovations

AU - Pedersen, Rasmus Søndergaard

AU - Rahbek, Anders

N1 - JEL Classification: C32

PY - 2016/1/1

Y1 - 2016/1/1

N2 - We consider joint estimation of the GARCH parameters and the degrees of freedom parameter in the GARCH model with t-distributed innovations for the nonstationary case. With T denoting the sample size, T-consistency and asymptotic normality are derived for the estimators of the GARCH parameters jointly with the degrees of freedom parameter. Thus consistency and asymptotic normality at the standard rate hold for both the nonstationary case as well as for the stationary case treated in existing literature. Finally, an explicit formula is given for the asymptotic covariance matrix.

AB - We consider joint estimation of the GARCH parameters and the degrees of freedom parameter in the GARCH model with t-distributed innovations for the nonstationary case. With T denoting the sample size, T-consistency and asymptotic normality are derived for the estimators of the GARCH parameters jointly with the degrees of freedom parameter. Thus consistency and asymptotic normality at the standard rate hold for both the nonstationary case as well as for the stationary case treated in existing literature. Finally, an explicit formula is given for the asymptotic covariance matrix.

U2 - 10.1016/j.econlet.2015.11.016

DO - 10.1016/j.econlet.2015.11.016

M3 - Journal article

SN - 0165-1765

VL - 138

SP - 19

EP - 21

JO - Economics Letters

JF - Economics Letters

ER -