The limiting properties of the QMLE in a general class of asymmetric volatility models∗

In this paper we analyze the limiting properties of the estimated parameters in a general class of asymmetric volatility models which are closely related to the traditional exponential GARCH model. The new representation has three main advantages over the traditional EGARCH: (1) It allows a much more flexible rep∗We wish to thank Hira Koul, Timo Terasvirta, Tim Vogelsang and participants at a seminar at MSU, the Summer Econometrics Conference at University of Aarhus, the 2007 Canadian Econometrics Study Group and the 2007 Midwest Econometrics Group meetings for very helpful comments. The first author gratefully acknowledges the research support of CREATES (funded by the Danish National Research Foundation). The second author acknowledges support from the MSU Intramural Research Grants Program. †Address: School of Economics and Management, Room 225, Building 1326, DK-8000 Aarhus C. Phone: +45 8942 1559. E-mail: [email protected]. ‡Corresponding author. Address: Department of Economics, Michigan State University, 101 Marshall-Adams Hall, East Lansing, MI 48824-1038, USA. Phone: 517-353-9916. E-mail: [email protected].