Title :
The estimation of β - ARCH model under the order restriction and application
Author_Institution :
Sch. of Math. & Inf. Sci., Henan Polytech. Univ., Jiaozuo, China
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;
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
DOI :
10.1109/AIMSEC.2011.6011284
