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Asymptotic normality of the MLE in the level-effect ARCH model

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URI: http://hdl.handle.net/2183/34747

Publication date

2021

Authors

Dahl, Christian M.

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Bibliographic citation

Dahl, C.M., Iglesias, E.M. Asymptotic normality of the MLE in the level-effect ARCH model. Stat Papers 62, 117–135 (2021). https://doi.org/10.1007/s00362-019-01086-y

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Abstract

[Abstract]:We establish consistency and asymptotic normality of the maximum likelihood estimator in the level-effect ARCH model of Chan et al. (J Financ 47(3):1209–1227, 1992). Furthermore, it is shown by simulations that the asymptotic properties also apply in finite samples.

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Keywords

Level-ARCH Asymptotic normality Asymptotic theory Consistency Stationarity Maximum likelihood estimation Normalidade asintótica Teoría asintótica Consistencia Estacionalidade Estimación de máxima verosimilitude

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https://doi.org/10.1007/s00362-019-01086-y

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Investigación (FEE)