Semi-parametric estimation for ARCH models

被引：3
|
作者：
Alzghool, Raed [1 ,2 ]
Al-Zubi, Loai M. [3 ]
机构：
[1] Al Balqa Appl Univ, Fac Sci, Dept Math, Salt, Jordan
[2] Univ Dammam, Coll Engn, Dept Basic Sci, Dammam, Saudi Arabia
[3] Al Al Bayt Univ, Fac Sci, Dept Math, Mafraq, Jordan
来源：
ALEXANDRIA ENGINEERING JOURNAL | 2018年 / 57卷 / 01期
关键词：
ARCH model; Quasi likelihood (QL); Asymptotic Quasi-likelihood (AQL); Martingale difference; Kernel estimator;
D O I：
10.1016/j.aej.2016.08.026
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
In 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. (C) 2016 Faculty of Engineering, Alexandria University. Production and hosting by Elsevier B.V.
引用
收藏
页码：367 / 373
页数：7
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