Pseudo-maximum likelihood estimation of ARCH models

Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH(1) processes are established. We require the ARCH weights to decay at least hyperbolically, with a faster rate needed for the central limit theorem than for the law of large numbers. Various rates are illustrated in examples of particular parameteriza- tions in which our conditions are shown to be satis ed.

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Year of publication:	2005-10
Authors:	Robinson, Peter M. ; Zafaroni, Paolo
Institutions:	London School of Economics (LSE)
Subject:	ARCH(1) models \| pseudo-maximum likelihood estimation \| asymptotic inference

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Extent:	application/pdf
Series:	LSE Research Online Documents on Economics.
Type of publication:	Book / Working Paper
Notes:	37 pages
Classification:	J1 - Demographic Economics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010745823