Premium
Least squares estimation of ARCH models with missing observations
Author(s) -
Bondon Pascal,
Bahamonde Natalia
Publication year - 2012
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2012.00803.x
Subject(s) - mathematics , asymptotic distribution , missing data , estimator , statistics , arch , consistency (knowledge bases) , strong consistency , monte carlo method , least squares function approximation , econometrics , geography , geometry , archaeology
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.