Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models

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Wang, Hui and Pan, Jiazhu (2014) Normal mixture quasi maximum likelihood estimation for non-stationary TGARCH(1,1) models. Statistics and Probability Letters, 91. 117–123. ISSN 0167-7152 (https://doi.org/10.1016/j.spl.2014.03.027)

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Abstract

Although quasi maximum likelihood estimator based on Gaussian density (G-QMLE) is widely used to estimate GARCH-type models, it does not perform successfully when error distribution is either skewed or leptokurtic. This paper proposes normal mixture quasi-maximum likelihood estimator (NM-QMLE) for non-stationary TGARCH(1,1) models. We show that, under mild regular conditions, there is no consistent estimator for the intercept, and the proposed estimator for any other parameter is consistent.

ORCID iDs

Wang, Hui and Pan, Jiazhu ORCID logoORCID: https://orcid.org/0000-0001-7346-2052;
CORE (COnnecting REpositories)