Modelling subset multivariate ARCH model via the AIC principle

Hongzhi AN, P. W. FONG, Wai Keung LI

Research output: Contribution to journalArticle

Abstract

In this paper we consider the problem of identifying a parsimonious subset multivariate ARCH model based on the AIC principle. The proposed approach can reduce the number of parameters in the final ARCH specification and allows for non-constant correlations between the components. Some simulation results illustrate the viability of the proposed procedure. Copyright © 2002 Science in China Press.
Original languageEnglish
Pages (from-to)1089-1099
JournalScience in China, Series A: Mathematics
Volume45
Issue number9
Publication statusPublished - Sep 2002

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Autoregressive Conditional Heteroscedasticity
Multivariate Models
Subset
Modeling
Viability
Model-based
Specification
Simulation

Citation

An, H., Fong, P. W., & Li, W. K. (2002). Modelling subset multivariate ARCH model via the AIC principle. Science in China Series A: Mathematics, 45(9), 1089-1099.

Keywords

  • AIC principle
  • BIC
  • Multivariate ARCH model
  • Subset model