On The Relation Between Heteroscedastic RCA And Non-Stationary ARCH Processes

In the paper a non-stationary ARCH model is defined and its relation with a heteroscedastic RCA model is presented. Further, estimation of unknown parameters in a non-stationary ARCH(l) is described under a special seasonal behaviour of time varying parameters. This procedure is compared with two different approaches of parameters estimation in a heteroscedastic RCA(l) model. Asymptotic properties of these estimators are shortly summarized. Finally, numerical simulations are presented.