Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero
In order to be consistent with volatility processes, the autoregressiveconditional heteroskedastic (ARCH) models are constrained to havenon-negative coefficients. The estimators incorporating these constraints possessnon standard asymptotic distributions when the true parameter has zerocoefficients. This situation, where the parameter is on the boundary of theparameter space, must be considered to derive the critical values of tests thatone or several ARCH coefficients are equal to zero. In this paper we comparethe asymptotic theoretical properties, as well as the finite sample behavior, ofthe main estimation methods in this framework.
|Date of creation:||2008|
|Contact details of provider:|| Postal: 15 Boulevard Gabriel Peri 92245 Malakoff Cedex|
Phone: 01 41 17 60 81
Web page: http://www.crest.fr
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:crs:wpaper:2008-07. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Florian Sallaberry)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.