Regression modelEconometrics / time series

Robust ARCH Model

The Robust ARCH model extends the classical Autoregressive Conditional Heteroscedasticity framework by replacing the standard maximum-likelihood estimator with robust alternatives that downweight or eliminate the influence of outliers. This makes volatility estimates resistant to extreme observations that frequently contaminate financial and macroeconomic time series.

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Sources

  1. Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI: 10.2307/1912773
  2. Iqbal, F. (2013). Robust estimation for the ARCH models. Revista Colombiana de Estadística, 36(1), 41–56. link

Related methods

Referenced by

ScholarGateRobust ARCH model (Robust Autoregressive Conditional Heteroscedasticity Model). Retrieved 2026-06-04 from https://scholargate.app/en/econometrics/robust-arch-model