Pseudo-likelihood estimation in ARCH model

Mukherjee, Kanchan (2006) Pseudo-likelihood estimation in ARCH model. Canadian Journal of Statistics, 34 (2). pp. 341-356. ISSN 0319-5724

Abstract

The author presents asymptotic results for the class of pseudo-likelihood estimators in the autoregressive conditional heteroscedastic models introduced by Engle (1982). Unlike what is required for the quasi-likelihood estimator, some estimators in the class he considers do not require the finiteness of the fourth moment of the error density. Thus his method is applicable to heavy-tailed error distributions for which moments higher than two may not exist.