Aknouche, Abdelhakim; Touche, Nassim - In: Statistics & Probability Letters 97 (2015) C, pp. 108-115
We establish consistency and asymptotic normality for a weighted least squares estimate (2SWLSE) of a threshold power ARCH process in both stationary and nonstationary environments. For models with heavy tail innovations, the 2SWLSE is more efficient than the quasi-maximum likelihood estimate.