Abstract
This paper considers an alternative to maximum likelihood (ML) estimation of the autoregressive conditional heteroskedastic (ARCH) model introduced in Engle (1982). Specifically, the analysis demonstrates that Hansen's (1982) generalized method of moments (GMM) procedure can be applied for estimation of ARCH models. As an illustration, we compare the results from ML estimation and GMM estimation of Engle and Kraft's (1983) ARCH model of U.S. inflation.
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