Title: Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model
Authors: Stelios Arvanitis - RC-AUEB (Greece) [presenting]
Alexandros Louka - Athens University of Economics and Business (Greece)
Abstract: The limit theory of the Gaussian QMLE in the non-stationary GARCH(1,1) model is derived when the squared innovation process lies in the domain of attraction of a stable law. Analogously to the stationary case, when the stability parameter lies in $\left(1,2\right]$, we find regularly varying rates and stable limits for the QMLE of the ARCH and GARCH parameters.