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

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.

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