Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Asymptotic Normality for Threshold-Asymmetric GARCH Processes of Non-Stationary Cases

  • Park, J.A. (Department of Statistics, Sookmyung Women's University) ;
  • Hwang, S.Y. (Department of Statistics, Sookmyung Women's University)
  • Received : 20110400
  • Accepted : 20110500
  • Published : 2011.07.31
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Abstract

This article is concerned with a class of threshold-asymmetric GARCH models both for stationary case and for non-stationary case. We investigate large sample properties of estimators from QML(quasi-maximum likelihood) and QL(quasilikelihood) methods. Asymptotic distributions are derived and it is interesting to note for non-stationary case that both QML and QL give asymptotic normal distributions.

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References

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