Article1986

ARCH and Bilinear Time Series Models: Comparison and Combination

Unknown author

98 citations0/0 files storedJournal of Business and Economic Statistics

No readable copy stored yet — this record is metadata only.

Financial Risk and Volatility Modeling Time Series Analysis and Forecasting Statistical and numerical algorithms

Abstract

Two extensions to the ARMA model, bilinearity and ARCH errors are compared, and their combination is considered. Starting with the ARMA model, tests for each extension are discussed, along with various least squares and maximum likelihood estimates of the parameters and tests of the estimated models based on these. The effects each may have on the identification, estimation, and testing of the other are given, and it is seen that to distinguish between the two properly, it is necessary to combine them into a bilinear model with ARCH errors. Some consequences of the misspecification caused by considering only the ARMA model are noted, and the methods are applied to two real time series.

Citations in this library

Stored only when both papers are in the corpus — 98 citations exist upstream.

References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1977Time Series Analysis: Forecasting and Control 1977Time Series Analysis: Forecasting and Control 1986Asymptotic Theory for ARCH Models: Estimation and Testing 1984ARMA MODELS WITH ARCH ERRORS 1983An Application of Nonlinear Time Series Forecasting

Cited by

1997Linear and Non-linear (Non-)Forecastability of High-frequency Exchange Rates 2003DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS 2009Testing the Martingale Hypothesis 1997ARCH and Bilinearity as Competing Models for Nonlinear Dependence 1988Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate 1995Model-free forecasting for nonlinear time series (with application to exchange rates)1999The Effect of (Mis-Specified) GARCH Filters on the Finite Sample Distribution of the BDS Test 1998A non-linear error correction mechanism based on the bilinear model

Imported from OpenAlex (CC0) — nothing here is generated.