%0 Journal Article
%T Quasi-MLE for quadratic ARCH model with long memory
%A Ieva Grublyt£¿
%A Donatas Surgailis
%A Andrius £¿karnulis
%J Statistics
%D 2015
%I arXiv
%X We discuss parametric quasi-maximum likelihood estimation for quadratic ARCH process with long memory introduced in Doukhan et al. (2015) and Grublyt\.e and \v{S}karnulis (2015) with conditional variance given by a strictly positive quadratic form of observable stationary sequence. We prove consistency and asymptotic normality of the corresponding QMLE estimates, including the estimate of long memory parameter $0< d < 1/2$. A simulation study of empirical MSE is included.
%U http://arxiv.org/abs/1509.06422v1