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Threshold ARCH(1) processes: asymptotic inference
- Issue Date
- May-2001
- Publisher
- ELSEVIER SCIENCE BV
- Keywords
- threshold ARCH; geometric ergodicity; conditional least-squares; financial data in Korea
- Citation
- STATISTICS & PROBABILITY LETTERS, v.53, no.1, pp 11 - 20
- Pages
- 10
- Journal Title
- STATISTICS & PROBABILITY LETTERS
- Volume
- 53
- Number
- 1
- Start Page
- 11
- End Page
- 20
- ISSN
- 0167-7152
1879-2103
- Abstract
- This article discusses large sample inference problems for a first-order ARCH(1) process where threshold appears not only in the mean but also in the variance function. Geometric ergodicity of the process is discussed. Least-squares estimators of parameters are derived and relevant limit results are obtained. Also, the uniform local asymptotic normality of the log-likelihood ratio and a class of efficient estimators are briefly discussed. The model is applied to Korean financial time series. (C) 2001 Elsevier Science B.V. All rights reserved.
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