Least squares estimation of ARCH models with missing observations

Pascal Bondon (1) , Natalia Bahamonde (2)

1 L2S - Laboratoire des signaux et systèmes
2 Facultad de Ciencias

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.

Domains: Statistics [stat]; Methodology [stat.ME]; Engineering Sciences [physics]; Signal and Image processing; Computer Science [cs]; Signal and Image Processing

Pascal Bondon, Natalia Bahamonde. Least squares estimation of ARCH models with missing observations. Journal of Time Series Analysis, 2012, 33 (6), pp.880-891. ⟨10.1111/j.1467-9892.2012.00803.x⟩. ⟨hal-00819753⟩