Threshold ARCH(1) processes: asymptotic inference

✍ Scribed by S.Y. Hwang; Mi-Ja Woo

• Publisher: Elsevier Science
• Year: 2001
• Tongue: English
• Weight: 112 KB
• Volume: 53
• Category: Article
• ISSN: 0167-7152
• DOI: 10.1016/s0167-7152(00)00222-4

✦ Synopsis

This article discusses large sample inference problems for a ÿrst-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 e cient estimators are brie y discussed. The model is applied to Korean ÿnancial time series.