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On The Relation Between Heteroscedastic RCA And Non-Stationary ARCH Processes

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  • Hana Janečková

Abstract

In the paper a non-stationary ARCH model is defined and its relation with a heteroscedastic RCA model is presented. Further, estimation of unknown parameters in a non-stationary ARCH(l) is described under a special seasonal behaviour of time varying parameters. This procedure is compared with two different approaches of parameters estimation in a heteroscedastic RCA(l) model. Asymptotic properties of these estimators are shortly summarized. Finally, numerical simulations are presented.

Suggested Citation

  • Hana Janečková, 2002. "On The Relation Between Heteroscedastic RCA And Non-Stationary ARCH Processes," Bulletin of the Czech Econometric Society, The Czech Econometric Society, vol. 9(17).
  • Handle: RePEc:czx:journl:v:9:y:2002:i:17:id:113
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    File URL: http://ces.utia.cas.cz/bulletin/index.php/bulletin/article/view/113
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    Keywords

    ARCH models; random coefficients; autoregression; heteroscedasticity;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities

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