Proceedings of the Korean Statistical Society Conference (한국통계학회:학술대회논문집)
- 2002.11a
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- Pages.3-9
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- 2002
A study on Robust Estimation of ARCH models
- Kim, Sahm-Yeong (Department of Statistics, Chung-Ang University) ;
- Hwang, Sun-Young (Department of Statistics,Sook-Myung University)
- Published : 2002.11.01
Abstract
In financial time series, the autoregressive conditional heteroscedastic (ARCH) models have been widely used for modeling conditional variances. In many cases, non-normality or heavy-tailed distributions of the data have influenced the estimation methods under normality assumption. To solve this problem, a robust function for the conditional variances of the errors is proposed and compared the relative efficiencies of the estimators with other conventional models.
Keywords