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.
ORCID iDs
Wang, Hui and Pan, Jiazhu ORCID: https://orcid.org/0000-0001-7346-2052;-
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Item type: Article ID code: 49282 Dates: DateEvent1 August 2014Published12 April 2014Published Online18 March 2014AcceptedSubjects: Science > Mathematics Department: Faculty of Science > Mathematics and Statistics Depositing user: Pure Administrator Date deposited: 17 Sep 2014 15:36 Last modified: 11 Nov 2024 10:47 Related URLs: URI: https://strathprints.strath.ac.uk/id/eprint/49282