Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

Authors

  • Søren Tolver Jensen,

    1. Department of Applied Mathematics and Statistics, University of Copenhagen, Denmark
      and
      Department of Applied Mathematics and Statistics, University of Copenhagen, Denmark
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  • Anders Rahbek

    1. Department of Applied Mathematics and Statistics, University of Copenhagen, Denmark
      and
      Department of Applied Mathematics and Statistics, University of Copenhagen, Denmark
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Abstract

We establish consistency and asymptotic normality of the quasi-maximum likelihood estimator in the linear ARCH model. Contrary to the existing literature, we allow the parameters to be in the region where no stationary version of the process exists. This implies that the estimator is always asymptotically normal.

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