TY - JOUR

T1 - Asymptotics of the QMLE for General ARCH(q) Models

AU - Kristensen, Dennis

AU - Rahbek, Anders Christian

PY - 2009

Y1 - 2009

N2 - Asymptotics of the QMLE for Non-Linear ARCH ModelsDennis Kristensen, Columbia UniversityAnders Rahbek, University of CopenhagenAbstractAsymptotic properties of the quasi-maximum likelihood estimator (QMLE) for non-linear ARCH(q) models -- including for example Asymmetric Power ARCH and log-ARCH -- are derived. Strong consistency is established under the assumptions that the ARCH process is geometrically ergodic, the conditional variance function has a finite log-moment, and finite second moment of the rescaled error. Asymptotic normality of the estimator is established under the additional assumption that certain ratios involving the conditional variance function are suitably bounded, and that the rescaled errors have little more than fourth moment. We verify our general conditions, including identification, for a wide range of leading specific ARCH models.

AB - Asymptotics of the QMLE for Non-Linear ARCH ModelsDennis Kristensen, Columbia UniversityAnders Rahbek, University of CopenhagenAbstractAsymptotic properties of the quasi-maximum likelihood estimator (QMLE) for non-linear ARCH(q) models -- including for example Asymmetric Power ARCH and log-ARCH -- are derived. Strong consistency is established under the assumptions that the ARCH process is geometrically ergodic, the conditional variance function has a finite log-moment, and finite second moment of the rescaled error. Asymptotic normality of the estimator is established under the additional assumption that certain ratios involving the conditional variance function are suitably bounded, and that the rescaled errors have little more than fourth moment. We verify our general conditions, including identification, for a wide range of leading specific ARCH models.

U2 - 10.2202/1941-1928.1001

DO - 10.2202/1941-1928.1001

M3 - Journal article

SN - 2194-6507

VL - 1

SP - 1

EP - 36

JO - Journal of Time Series Econometrics

JF - Journal of Time Series Econometrics

IS - 1

ER -