Normal Mixture Quasi Maximum Likelihood Estimation for Non-Stationary TGARCH(1, 1) Models
نویسندگان
چکیده
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 (NMQMLE) 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. AMS 2000 subject classifications. 62P05, 62M10
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