Abstract
ABSTRACTThis paper investigates the pseudo-maximum likelihood (PML) estimation of an ARCH(2) model when the innovations' law belongs to the quadratic exponential family. In addition, the error terms are conditionally independent, but not necessarily dependent. The consistency and asymptotic normality of the PML estimator are obtained by means of martingale techniques.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have