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

Author

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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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    References listed on IDEAS

    as
    1. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
    2. Haltiwanger, John & Waldman, Michael, 1985. "Rational Expectations and the Limits of Rationality: An Analysis of Heterogeneity," American Economic Review, American Economic Association, vol. 75(3), pages 326-340, June.
    3. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
    4. Barucci, Emilio, 2000. "Exponentially fading memory learning in forward-looking economic models," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 1027-1046, June.
    5. William A. Brock, 2001. "Growth Theory, Nonlinear Dynamics and Economic Modelling," Books, Edward Elgar Publishing, number 1491 edited by W. D. Dechert, April.
    6. Chiarella, Carl & He, Xue-Zhong, 2003. "Heterogeneous Beliefs, Risk, And Learning In A Simple Asset-Pricing Model With A Market Maker," Macroeconomic Dynamics, Cambridge University Press, vol. 7(04), pages 503-536, September.
    7. Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    8. Zeeman, E. C., 1974. "On the unstable behaviour of stock exchanges," Journal of Mathematical Economics, Elsevier, vol. 1(1), pages 39-49, March.
    9. Gaunersdorfer, Andrea, 2000. "Endogenous fluctuations in a simple asset pricing model with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 799-831, June.
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    More about this item

    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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