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Consistent Estimation for Aggregated GARCH Processes

We study the properties of a quasi-maximum likelihood (QML) for the parameters of a "weak" GARCH process obtained by contemporaneous aggregation of two independent "strong" GARCH processes. The inconsistency of the Gaussian quasi-likelihood estimator (QMLE) has already been reported by Nijman & Sentana (1996) but has not yet been solved. In this paper we identify the causes of inconsistency of QMLE in the "weak" GARCH case and compare the performance of QMLE when the innovations are assumed to have Gaussian, Laplace (double exponential) or alpha-stable distribution.