Ma, Jun; Nelson, Charles; Startz, Richard - In: Studies in Nonlinear Dynamics & Econometrics 11 (2007) 1, pp. 1434-1434
This paper shows that the Zero-Information-Limit-Condition (ZILC) formulated by Nelson and Startz (2006) holds in the GARCH (1,1) model. As a result, the GARCH estimate tends to have too small a standard error relative to the true one when the ARCH parameter is small, even when sample size...