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
Citation
TAO, Yubo.
Limit theory for moderate deviations from integrated GARCH processes. (2019). Statistics and Probability Letters. 150, 126-136.
Available at: https://ink.library.smu.edu.sg/soe_research/2265
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1016/j.spl.2019.03.001