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

Christian M. Dahl; Emma M. Iglesias

doi:10.1007/s00362-019-01086-y

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

Christian M. Dahl, Emma M. Iglesias

Department of Business and Economics

Research output: Contribution to journal › Journal article › Research › peer-review

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
Journal	Statistical Papers
Volume	62
Issue number	1
Pages (from-to)	117-135
ISSN	0932-5026
DOIs	https://doi.org/10.1007/s00362-019-01086-y
Publication status	Published - Feb 2021

Keywords

Asymptotic normality
Asymptotic theory
Consistency
Level-ARCH
Maximum likelihood estimation
Stationarity

Documents & Links

10.1007/s00362-019-01086-y

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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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KW - Asymptotic theory

KW - Consistency

KW - Level-ARCH

KW - Maximum likelihood estimation

KW - Stationarity

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DO - 10.1007/s00362-019-01086-y

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