Quasi-MLE for quadratic ARCH model with long memory

Abstract

We discuss parametric quasi-maximum likelihood estimation for quadratic ARCH process with long memory introduced in Doukhan et al. (2015) and Grublytė and Škarnulis (2015) with conditional variance given by a strictly positive quadratic form of observable stationary sequence. We prove consistency and asymptotic normality of the corresponding QMLE estimates, including the estimate of long memory parameter $0<d<1/2$. A simulation study of empirical MSE is included.

References in corpus (1)

• On approximate pseudo-maximum likelihood estimation for LARCH-processes