Dahl, Christian M.Iglesias, Emma2024-01-052021Dahl, 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-y1613-97980932-5026http://hdl.handle.net/2183/34747[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.engLevel-ARCHAsymptotic normalityAsymptotic theoryConsistencyStationarityMaximum likelihood estimationNormalidade asintóticaTeoría asintóticaConsistenciaEstacionalidadeEstimación de máxima verosimilitudejournal articleembargoed access