Article ID: | iaor20031239 |
Country: | United Kingdom |
Volume: | 20 |
Issue: | 2 |
Start Page Number: | 111 |
End Page Number: | 133 |
Publication Date: | Mar 2001 |
Journal: | International Journal of Forecasting |
Authors: | Hui Yer Van, Zhao Quanshui, Jiang Jiancheng |
Keywords: | ARCH models |
The autoregressive conditional heteroscedastic (ARCH) model and its extensions have been widely used in modelling changing variances in financial time series. Since the asset return distributions frequently display tails heavier than normal distributions, it is worth while studying robust ARCH modelling without a specific distribution assumption. In this paper, rather than modelling the conditional variance, we study ARCH modelling for the conditional scale. We examine the