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.
|Journal||Science in China, Series A: Mathematics|
|Publication status||Published - Sep 2002|
CitationAn, 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.
- AIC principle
- Multivariate ARCH model
- Subset model