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- W1708733169 abstract "This paper studies the asymptotic properties of the quasi-maximumlikelihood estimator of ARCH(1) models without strict stationarityconstraints, and considers applications to testing problems. Theestimator is unrestricted, in the sense that the value of theintercept, which cannot be consistently estimated in the explosivecase, is not fixed. A specific behavior of the estimator of the ARCHcoefficient is obtained at the boundary of the stationarity region,but this estimator remains consistent and asymptotically normal inevery situation. The asymptotic variance is different in thestationary and non stationary situations, but is consistentlyestimated, with the same estimator, in both cases. Tests of strictstationarity and non stationarity are proposed. Their behaviors arestudied under the null assumption and under local alternatives. Thetests developed for the ARCH(1) model are able to detectnon-stationarity in more general GARCH models. A numericalillustration based on stock indices is proposed." @default.
- W1708733169 created "2016-06-24" @default.
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- W1708733169 date "2010-04-01" @default.
- W1708733169 modified "2023-10-16" @default.
- W1708733169 title "Strict stationarity testing and estimation of explosive ARCH models" @default.
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