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

  • Christian M. Dahl
  • Emma M. IglesiasEmail author
Regular Article
  • 25 Downloads

Abstract

We establish consistency and asymptotic normality of the maximum likelihood estimator in the level-effect ARCH model of Chan et al. (J Financ 47(3):1209–1227, 1992). Furthermore, it is shown by simulations that the asymptotic properties also apply in finite samples.

Keywords

Level-ARCH Asymptotic normality Asymptotic theory Consistency Stationarity Maximum likelihood estimation 

Mathematics Subject Classification

62F12 62M10 62P20 

JEL Classification

C12 C13 C22 

Notes

Supplementary material

362_2019_1086_MOESM1_ESM.pdf (94 kb)
Supplementary material 1 (pdf 93 KB)

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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2019

Authors and Affiliations

  1. 1.Department of Business and Economics, COHEREUniversity of Southern DenmarkOdenseDenmark
  2. 2.Department of Economics, Facultade de Economía y EmpresaUniversidade da CoruñaA CoruñaSpain

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