Guochang Wang, Ke Zhu, Guodong Li, Wai Keung Li
arXiv 21 Nov 2019 · Econometrics · publishedJournal of Econometrics (2020) · 12 citations (OpenAlex)
arXiv:1911.09343 · PDF · DOI · OpenAlex · Extracted main text
Asymmetric power GARCH models have been widely used to study the higher order moments of financial returns, while their quantile estimation has been rarely investigated. This paper introduces a simple monotonic transformation on its conditional quantile function to make the quantile regression tractable. The asymptotic normality of the resulting quantile estimators is established under either stationarity or non-stationarity. Moreover, based on the estimation procedure, new tests for strict stationarity and asymmetry are also constructed. This is the first try of the quantile estimation for non-stationary ARCH-type models in the literature. The usefulness of the proposed methodology is illustrated by simulation results and real data analysis.
appendix boundary found by appendix_command · 65% of the source is main text. Read the extracted text to check this.