Nonstationary ARCH and GARCH with t-distributed Innovations

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英文文献：Nonstationary ARCH and GARCH with t-distributed Innovations
英文文献作者：Rasmus S?ndergaard Pedersen,Anders Rahbek
英文文献摘要：
Consistency and asymptotic normality are established for the maximum likelihood estimators in the nonstationary ARCH and GARCH models with general t-distributed innovations. The results hold for joint estimation of (G)ARCH effects and the degrees of freedom parameter parametrizing the t-distribution. With T denoting sample size, classic square-root T-convergence is shown to hold with closed form expressions for the multivariate covariances.

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