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Pseudo-maximum likelihood estimation of ARCH models

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  • Robinson, Peter M.
  • Zafaroni, Paolo

Abstract

Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH(1) processes are established. We require the ARCH weights to decay at least hyperbolically, with a faster rate needed for the central limit theorem than for the law of large numbers. Various rates are illustrated in examples of particular parameteriza- tions in which our conditions are shown to be satis ed.

Suggested Citation

  • Robinson, Peter M. & Zafaroni, Paolo, 2005. "Pseudo-maximum likelihood estimation of ARCH models," LSE Research Online Documents on Economics 4544, London School of Economics and Political Science, LSE Library.
    • Handle: RePEc:ehl:lserod:4544
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    File URL: http://eprints.lse.ac.uk/4544/
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    References listed on IDEAS

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    Cited by:

    1. Han, Heejoon & Park, Joon Y., 2008. "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, vol. 146(2), pages 275-292, October.

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    More about this item

    Keywords

    ARCH(1) models; pseudo-maximum likelihood estimation; asymptotic inference;
    All these keywords.

    JEL classification:

    • J1 - Labor and Demographic Economics - - Demographic Economics

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