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

TY - UNPB

T1 - Asymptotic normality of the QMLE in the level-effect ARCH model

AU - Dahl, Christian Møller

AU - Iglesias, Emma M.

PY - 2010

Y1 - 2010

N2 - In this paper consistency and asymptotic normality of the quasi maximum like-lihood estimator in the level-effect ARCH model of Chan, Karolyi, Longstaff and Sanders (1992) is established. We consider explicitly the case where the parameters of the conditional heteroskedastic process are in the stationary region and discuss carefully how the results can be extended to the region where the conditional heteroskedastic process is nonstationary. The results illustrate that Jensen and Rahbek's (2004a,2004b) approach can be extended further than to traditional ARCH and GARCH models.

AB - In this paper consistency and asymptotic normality of the quasi maximum like-lihood estimator in the level-effect ARCH model of Chan, Karolyi, Longstaff and Sanders (1992) is established. We consider explicitly the case where the parameters of the conditional heteroskedastic process are in the stationary region and discuss carefully how the results can be extended to the region where the conditional heteroskedastic process is nonstationary. The results illustrate that Jensen and Rahbek's (2004a,2004b) approach can be extended further than to traditional ARCH and GARCH models.

KW - Level-effect ARCH, QMLE, Asymptotics, Stationarity, Nonstationarity

M3 - Working paper

BT - Asymptotic normality of the QMLE in the level-effect ARCH model

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -