Pseudo-maximum likelihood estimation of ARCH() models

DOI10.1214/009053606000000245zbMATH Open1113.62107arXivmath/0607798OpenAlexW2096489060MaRDI QIDQ2500446FDOQ2500446

Authors: Peter M. Robinson, Paolo Zaffaroni 

Publication date: 24 August 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: Strong consistency and asymptotic normality of the Gaussian pseudo-maximum likelihood estimate of the parameters in a wide class of ARCH$(infty)$ processes are established. The conditions are shown to hold in case of exponential and hyperbolic decay in the ARCH weights, though in the latter case a faster decay rate is required for the central limit theorem than for the law of large numbers. Particular parameterizations are discussed.

Full work available at URL: https://arxiv.org/abs/math/0607798

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zbMATH Keywords

asymptotic inferencepseudo-maximum likelihood estimationARCH\((\infty)\) models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

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Cited In (40)

• QUASI-MAXIMUM LIKELIHOOD ESTIMATION OF SEMI-STRONG GARCH MODELS
• Pseudo maximum likelihood estimation of the univariate GARCH (2,2) and asymptotic normality under dependent innovations
• ON A FAMILY OF CONTRASTS FOR PARAMETRIC INFERENCE IN DEGENERATE ARCH MODELS
• Multiple breaks detection in general causal time series using penalized quasi-likelihood
• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
• Ian McLeod’s Contribution to Time Series Analysis—A Tribute
• Median Unbiased and Maximum Likelihood Estimations of ARCH(0, 1) Coefficient
• M-ESTIMATION IN GARCH MODELS
• Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
• Asymptotic distribution-free diagnostic tests for heteroskedastic time series models
• A goodness-of-fit test for ARCH(\(\infty\)) models
• Joint and marginal specification tests for conditional mean and variance models
• A goodness-of-fit test for ARCH(\(\infty\)) models
• Pseudo‐likelihood estimation in ARCH models
• ARCH/GARCH with persistent covariate: asymptotic theory of MLE
• Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
• Estimation in a class of nonlinear heteroscedastic time series models
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