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

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  • Christian M. Dahl

    (University of Southern Denmark)

  • Emma M. Iglesias

    (Universidade da Coruña)

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.

Suggested Citation

  • Christian M. Dahl & Emma M. Iglesias, 2021. "Asymptotic normality of the MLE in the level-effect ARCH model," Statistical Papers, Springer, vol. 62(1), pages 117-135, February.
    • Handle: RePEc:spr:stpapr:v:62:y:2021:i:1:d:10.1007_s00362-019-01086-y
    DOI: 10.1007/s00362-019-01086-y
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    More about this item

    Keywords

    Level-ARCH; Asymptotic normality; Asymptotic theory; Consistency; Stationarity; Maximum likelihood estimation;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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