Threshold ARCH(1) processes: asymptotic inference

S. Y. Hwang and Mi-Ja Woo

Statistics & Probability Letters, 2001, vol. 53, issue 1, 11-20

Abstract: This article discusses large sample inference problems for a first-order ARCH(1) process where threshold appears not only in the mean but also in the variance function. Geometric ergodicity of the process is discussed. Least-squares estimators of parameters are derived and relevant limit results are obtained. Also, the uniform local asymptotic normality of the log-likelihood ratio and a class of efficient estimators are briefly discussed. The model is applied to Korean financial time series.

Keywords: Threshold; ARCH; Geometric; ergodicity; Conditional; least-squares; Financial; data; in; Korea (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (5)

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