方法证据记录
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.
源记录
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Robust Autoregressive Conditional Heteroscedasticity Model
分类方法记录 · regression-model / econometrics
- 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
- Iqbal, F. (2013). Robust estimation for the ARCH models. Revista Colombiana de Estadística, 36(1), 41–56. · URL
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