Asymptotic Theory for ARCH Models: Estimation and Testing

Andrew A. Weiss

Econometric Theory, 1986, vol. 2, issue 1, 107-131

Abstract: In the context of a linear dynamic model with moving average errors, we consider a heteroscedastic model which represents an extension of the ARCH model introduced by Engle [4]. We discuss the properties of maximum likelihood and least squares estimates of the parameters of both the regression and ARCH equations, and also the properties of various tests of the model that are available. We do not assume that the errors are normally distributed.

Date: 1986
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:2:y:1986:i:01:p:107-131_01

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