Ma, Jun; Nelson, Charles; Startz, Richard - In: Studies in Nonlinear Dynamics & Econometrics 11 (2007) 1, pp. 1434-1434
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 becomes very large. In combination with an upward bias in the GARCH …
