We show that the empirical process of the squared residuals of an ARCH(p) sequence converges in distribution to a Gaussian process B (F(t)) + tf(t)E , where F is the distribution function of the squared innovations, f its derivative, {B(t), 0<= t <= 1} a Brownian bridge and E a normal random variable.
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Paper provided by Universite Aix-Marseille III in its series G.R.E.Q.A.M. with number
99a44.
Length: 16 pages Date of creation: 1999 Date of revision: Handle: RePEc:fth:aixmeq:99a44
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Find related papers by JEL classification: C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
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