Error process estimation of arch (1) model corrupted by ar(1) procees

Abstract

We showed how autocovariance functions can be used to estimate the ARCH(1) process corrupted by AR(I) errors. we performed simulation studies to demonstrate our findings. The studies showed that our model was able to very closely estimate the required ARCH process in the presence of AR(1) errors.

Global Journal of Mathematical Sciences Vol. 6 (1) 2007: pp. 45-52