Wang, Dehui; Song, Lixin; Shi, Ningzhong - In: Journal of Time Series Analysis 25 (2004) 4, pp. 483-499
In this paper, we study a stationary ARCH(q) model with parameters &agr;_0,&agr;_1,&agr;_2, H ,&agr;_q. It is known that the model requires all parameters &agr;_i to be non-negative, but sometimes the usual algorithm based on Newton-Raphson's method leads us to obtain some negative solutions. So this study proposes...
