Concepedia

Least squares estimation of ARCH models with missing observations

Journal of Time Series Analysis · 2012 · 16 citations · 25 references

Open access

Concepts

Econometric ModelEconomicsParameter EstimationEngineeringLeast SquaresEstimation StatisticBusinessEconometricsChilean Stock IndexInverse ProblemsForecastingEstimation TheoryStatisticsFinanceArch ModelsSemi-nonparametric EstimationGeodesy

Abstract

A least squares estimator for ARCH models in the presence of missing data is proposed. Strong consistency and asymptotic normality are derived. Monte Carlo simulation results are analysed and an application to real data of a Chilean stock index is reported.

References

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