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.
Original language | English |
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Journal | Statistical Papers |
Volume | 62 |
Issue number | 1 |
Pages (from-to) | 117-135 |
ISSN | 0932-5026 |
DOIs | |
Publication status | Published - Feb 2021 |
Keywords
- Asymptotic normality
- Asymptotic theory
- Consistency
- Level-ARCH
- Maximum likelihood estimation
- Stationarity