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arXiv · 1509.06422

Quasi-MLE for quadratic ARCH model with long memory

Ieva Grublytė·Donatas Surgailis·Andrius Škarnulis
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Abstract

We discuss parametric quasi-maximum likelihood estimation for quadratic ARCH process with long memory introduced in Doukhan et al. (2015) and Grublyt\.e and \v{S}karnulis (2015) with conditional variance given by a strictly positive quadratic form of observable stationary sequence. We prove consistency and asymptotic normality of the corresponding QMLE estimates, including the estimate of long memory parameter $0< d < 1/2$. A simulation study of empirical MSE is included.

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Ieva Grublytė, Donatas Surgailis, Andrius Škarnulis. 2015-09-21. Quasi-MLE for quadratic ARCH model with long memory. https://arxiv.org/abs/1509.06422

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