Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096867 | Journal of Econometrics | 2010 | 15 Pages |
Abstract
This paper considers a class of finite-order autoregressive linear ARCH models. The model captures the leverage effect, allows the volatility to be arbitrarily close to zero and to reach its minimum for non-zero innovations, and is appropriate for long memory modeling when infinite orders are allowed. However, the (quasi-)maximum likelihood estimator is, in general, inconsistent. A self-weighted least-squares estimator is proposed and is shown to be asymptotically normal. A score test for conditional homoscedasticity and diagnostic portmanteau tests are developed. Their performance is illustrated via simulation experiments. It is also investigated whether stock market returns exhibit some of the characteristic features of the linear ARCH model.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Christian Francq, Jean-Michel Zakoïan,