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Whittle estimation of ARCH models

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  • Giraitis, Liudas
  • Robinson, Peter M.

Abstract

For a class of parametric ARCH models, Whittle estimation based on squared observations is shown to be [square root of n]-consistent and asymptotically normal. Our conditions require the squares to have short memory autocorrelation, by comparison with the work of Zaffaroni (1999, “Gaussian Inference on Certain Long-Range Dependent Volatility Models,” Preprint), who established the same properties on the basis of an alternative class of models with martingale difference levels and long memory autocorrelated squares.

Suggested Citation

  • Giraitis, Liudas & Robinson, Peter M., 2001. "Whittle estimation of ARCH models," LSE Research Online Documents on Economics 316, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:316
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    File URL: http://eprints.lse.ac.uk/316/
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    JEL classification:

    • J1 - Labor and Demographic Economics - - Demographic Economics

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