Semi-parametric estimation for ARCH models
Copyright policy )Semi-parametric estimation for ARCH models
AbstractIn this paper, we conduct semi-parametric estimation for autoregressive conditional heteroscedasticity (ARCH) model with Quasi likelihood (QL) and Asymptotic Quasi-likelihood (AQL) estimation methods. The QL approach relaxes the distributional assumptions of ARCH processes. The AQL technique is obtained from the QL method when the process conditional variance is unknown. We present an application of the methods to a daily exchange rate series.
- Imam Abdulrahman Bin Faisal University Saudi Arabia
- Al-Balqa` Applied University Jordan
- Al al-Bayt University Jordan
Martingale difference, Kernel estimator, ARCH model, TA1-2040, Asymptotic Quasi-likelihood (AQL), Engineering (General). Civil engineering (General), Quasi likelihood (QL), Engineering(all)
Martingale difference, Kernel estimator, ARCH model, TA1-2040, Asymptotic Quasi-likelihood (AQL), Engineering (General). Civil engineering (General), Quasi likelihood (QL), Engineering(all)
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