The profile likelihood estimation for single-index ARCH(\(p\))-M model (Q1717839)

Summary: We propose a class of single-index ARCH(\(p\))-M models and investigate estimators of the parametric and nonparametric components. We first estimate the nonparametric component using local linear smoothing technique and then construct an estimator of parametric component by using profile quasimaximum likelihood method. Under regularity conditions, the asymptotic properties of our estimators are established.