Structure and estimation of a class of nonstationary yet nonexplosive GARCH models |
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| Authors: | Nazim Regnard Jean‐Michel Zakoïan |
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| Affiliation: | 1. University Lille 3;2. ?E‐mail:;3. CREST and University Lille 3;4. E‐mail: |
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| Abstract: | This article considers GARCH(1,1) models in which the time‐varying coefficients are functions of the realizations of an exogenous stochastic process. Time series generated by this model are in general nonstationary. Necessary and sufficient conditions are given for the existence of nonexplosive solutions, and for the existence of moments of these solutions. The asymptotic properties of the quasi‐maximum likelihood estimator are derived under mild assumptions. |
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| Keywords: | Asymptotic normality GARCH nonstationary processes quasi‐maximum likelihood estimation strong consistency time‐varying models C22 C13 |
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