Generalized instrumental variables estimation of autoregressive conditional heteroskedastic models

Robert W. Rich, Jennie Raymond, J. S. Butler

Research output: Contribution to journalArticlepeer-review

18 Scopus citations

Abstract

This paper considers an alternative to maximum likelihood (ML) estimation of the autoregressive conditional heteroskedastic (ARCH) model introduced in Engle (1982). Specifically, the analysis demonstrates that Hansen's (1982) generalized method of moments (GMM) procedure can be applied for estimation of ARCH models. As an illustration, we compare the results from ML estimation and GMM estimation of Engle and Kraft's (1983) ARCH model of U.S. inflation.

Original languageEnglish
Pages (from-to)179-185
Number of pages7
JournalEconomics Letters
Volume35
Issue number2
DOIs
StatePublished - Feb 1991

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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