Algorithme RLS en deux étapes pour l'estimation d'un modèle ARCH

Abstract: The aim of this Note is, on the one hand, the development of a recursive method, in two stages, for estimating ARCH models, and, on the other hand, the analysis of the statistical properties of the estimators provided by this method. We show that these estimators are asymptotically Gaussian and that the estimator of the second stage is asymptotically efficient. To cite this article: A. Aknouche, H. Guerbyenne, C. R. Acad. Sci. Paris, Ser. I 343 (2006). [Copyright &y& Elsevier]