Statistical inference for non-stationary GARCH(p,q) models

Abstract

This paper studies the quasi-maximum likelihood estimator (QMLE) of non-stationary GARCH(p,q) models. By expressing GARCH models in matrix form, the log-likelihood function is written in terms of the product of random matrices. Oseledec’s multiplicative ergodic theorem is then used to establish the asymptotic properties of the log-likelihood function and thereby, showing the weak consistency and the asymptotic normality of the QMLE for non-stationary GARCH(p,q) models.