Statistical inference for time-varying ARCH processes
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Publication:2500447
DOI10.1214/009053606000000227zbMATH Open1113.62099arXivmath/0607799OpenAlexW2169001471MaRDI QIDQ2500447FDOQ2500447
Authors: Suhasini Subba Rao, R. Dahlhaus 
Publication date: 24 August 2006
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: In this paper the class of ARCH models is generalized to the nonstationary class of ARCH models with time-varying coefficients. For fixed time points, a stationary approximation is given leading to the notation ``locally stationary ARCH process. The asymptotic properties of weighted quasi-likelihood estimators of time-varying ARCH processes () are studied, including asymptotic normality. In particular, the extra bias due to nonstationarity of the process is investigated. Moreover, a Taylor expansion of the nonstationary ARCH process in terms of stationary processes is given and it is proved that the time-varying ARCH process can be written as a time-varying Volterra series.
Full work available at URL: https://arxiv.org/abs/math/0607799
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