Small-Sample Properties of ARCH Estimators and Tests

1 February 1985

journal article
Published by JSTOR in Canadian Journal of Economics/Revue canadienne d'économique

Vol. 18 (1) , 66
https://doi.org/10.2307/135114

Abstract

Following the characterization of autoregressive conditional heteroscedasticity (ARCH) and its empirical manifestation, the effects of ARCH errors on least-squa...

Keywords

ARCH ESTIMATORS
SMALL SAMPLE PROPERTIES
TESTS