Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero
In order to be consistent with volatility processes, the autoregressive conditional heteroscedastic (ARCH) models are constrained to have nonnegative coefficients. The estimators incorporating these constraints possess non standard asymptotic distributions when the true parameter has zero coefficien...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Austrian Statistical Society
2016-04-01
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| Series: | Austrian Journal of Statistics |
| Online Access: | http://www.ajs.or.at/index.php/ajs/article/view/284 |