Chapter 6. Estimating ARCH Models by Least Squares

  1. Christian Francq1 and
  2. Jean-Michel Zakoïan1,2

Published Online: 14 JUL 2010

DOI: 10.1002/9780470670057.ch6

GARCH Models: Structure, Statistical Inference and Financial Applications

GARCH Models: Structure, Statistical Inference and Financial Applications

How to Cite

Francq, C. and Zakoïan, J.-M. (2010) Estimating ARCH Models by Least Squares, in GARCH Models: Structure, Statistical Inference and Financial Applications, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/9780470670057.ch6

Author Information

  1. 1

    University Lille 3, Lille, France

  2. 2

    CREST, Paris, France

Publication History

  1. Published Online: 14 JUL 2010
  2. Published Print: 23 JUL 2010

ISBN Information

Print ISBN: 9780470683910

Online ISBN: 9780470670057

SEARCH

Keywords:

  • estimating ARCH models by least squares;
  • simplest estimation method for ARCH models - ordinary least squares (OLS);
  • feasible generalized least squares (FGLS) method;
  • estimation of ARCH(q) models by OLS;
  • Theorem 6.2 asymptotic normality of OLS estimator;
  • Remark 6.2 estimation of information matrices;
  • ARCH(q) model estimation - by feasible generalized least squares;
  • estimation by constrained ordinary least squares;
  • properties of constrained OLS estimator - equality between constrained and unconstrained OLS;
  • computation of constrained OLS estimator

Summary

This chapter contains sections titled:

  • Estimation of ARCH(q) models by Ordinary Least Squares

  • Estimation of ARCH(q) Models by Feasible Generalized Least Squares

  • Estimation by Constrained Ordinary Least Squares

  • Bibliographical Notes

  • Exercises