Showing 1 - 2 of 2
Persistent link: https://www.econbiz.de/10011615340
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...
Persistent link: https://www.econbiz.de/10011265726