Whittle estimation of ARCH models

Liudas Giraitis and Peter M. Robinson

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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.

JEL-codes: J1 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2001-06
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Citations: View citations in EconPapers (31)

Published in Econometric Theory, June, 2001, 17(3), pp. 608 - 631. ISSN: 1469-4360

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:316

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