Publication Type

Journal Article

Version

submittedVersion

Publication Date

3-2019

Abstract

This paper develops the limit theory of the GARCH(1,1) process that moderately deviates from IGARCH process towards both stationary and explosive regimes. The asymptotic theory extends Berkes et al. (2005) by allowing the parameters to have a slower rate of convergence. The results can be applied to unit root test for processes with mildly-integrated GARCH innovations (e.g. Boswijk (2001), Cavaliere and Taylor (2007, 2009)) and deriving limit theory of estimators for models involving mildly-integrated GARCH processes (e.g. Jensen and Rahbek (2004), Francq and Zakoïan (2012, 2013).

Keywords

Central limit theorem, Limiting process, Localization, Explosive GARCH, Volatility process

Discipline

Econometrics

Research Areas

Econometrics

Publication

Statistics and Probability Letters

Volume

150

First Page

126

Last Page

136

ISSN

0167-7152

Identifier

10.1016/j.spl.2019.03.001

Publisher

Elsevier

Additional URL

https://doi.org/10.1016/j.spl.2019.03.001

Included in

Econometrics Commons

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