Asymptotic normality of the MLE in the level-effect ARCH model

Christian Dahl and Emma Iglesias

Statistical Papers, 2021, vol. 62, issue 1, No 7, 117-135

Abstract: Abstract We establish consistency and asymptotic normality of the maximum likelihood estimator in the level-effect ARCH model of Chan et al. (J Financ 47(3):1209–1227, 1992). Furthermore, it is shown by simulations that the asymptotic properties also apply in finite samples.

Keywords: Level-ARCH; Asymptotic normality; Asymptotic theory; Consistency; Stationarity; Maximum likelihood estimation; 62F12; 62M10; 62P20 (search for similar items in EconPapers)
JEL-codes: C12 C13 C22 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Working Paper: Asymptotic normality of the QMLE in the level-effect ARCH model (2010)
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DOI: 10.1007/s00362-019-01086-y

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