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

Author

Listed:
  • Christian M. Dahl

    (Department of Business and Economics, University of Southern Denmark and CREATES)

  • Emma M. Iglesias

    (Department of Economics, Michigan State University)

Abstract

In this paper consistency and asymptotic normality of the quasi maximum like-lihood estimator in the level-effect ARCH model of Chan, Karolyi, Longstaff and Sanders (1992) is established. We consider explicitly the case where the parameters of the conditional heteroskedastic process are in the stationary region and discuss carefully how the results can be extended to the region where the conditional heteroskedastic process is nonstationary. The results illustrate that Jensen and Rahbek's (2004a,2004b) approach can be extended further than to traditional ARCH and GARCH models.

Suggested Citation

  • Christian M. Dahl & Emma M. Iglesias, 2010. "Asymptotic normality of the QMLE in the level-effect ARCH model," CREATES Research Papers 2010-48, Department of Economics and Business Economics, Aarhus University.
    • Handle: RePEc:aah:create:2010-48
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    2. Rivera-Alonso, David & Iglesias, Emma M., 2024. "Is the Chinese crude oil spot price a good hedging tool for other crude oil prices, and in special for the main Russian oil benchmarks and during international sanctions?," Resources Policy, Elsevier, vol. 90(C).

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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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