Limit theory for moderate deviation from Integrated GARCH processes

Limit theory for moderate deviation from Integrated GARCH processes

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...

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Bibliographic Details
Main Author: TAO, Yubo
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2019
Subjects:
Central limit theorem
Limiting process
Localization
Explosive GARCH
Volatility process
Econometrics
Economic Theory
Online Access:https://ink.library.smu.edu.sg/soe_research/2456
https://ink.library.smu.edu.sg/context/soe_research/article/3455/viewcontent/LimitTheory_MildlyIntegated_GARCH_Processes_sv.pdf
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Institution: Singapore Management University
Language: English
Description
Summary: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).

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