DocumentCode
3186978
Title
The estimation of β - ARCH model under the order restriction and application
Author
Sun Jun-ling
Author_Institution
Sch. of Math. & Inf. Sci., Henan Polytech. Univ., Jiaozuo, China
fYear
2011
fDate
8-10 Aug. 2011
Firstpage
6837
Lastpage
6839
Abstract
That is a good way that use the ARCH family models to describe the time-varying characteristic of the return sequence on stocks. Intuitively, the influence to present from the long history data should not bigger than the short history data. So the order restriction to the parameter is according to the fact better. This paper researched the maximum likelihood estimator (MLE) of the parameters in the β - ARCH(0,q) model under the nonnegative restriction. At last we use the model in Chinese stock market.
Keywords
autoregressive processes; maximum likelihood estimation; stock markets; time-varying systems; β-ARCH model; ARCH family models; Chinese stock market; MLE; long history data; maximum likelihood estimator; nonnegative restriction; order restriction; return sequence; short history data; time-varying characteristic; Computational modeling; Data models; History; Mathematical model; Maximum likelihood estimation; Stock markets; β - ARCH model; order restriction; simulation;
fLanguage
English
Publisher
ieee
Conference_Titel
Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC), 2011 2nd International Conference on
Conference_Location
Deng Leng
Print_ISBN
978-1-4577-0535-9
Type
conf
DOI
10.1109/AIMSEC.2011.6011284
Filename
6011284
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