The autoregressive conditional heteroscedastic (ARCH) model and its extensions have been widely used in modelling changing variances in financial time series. Since the asset return distributions frequently display tails heavier than normal distributions, it is worth while studying robust ARCH...

-norm fit is constructed to test the model adequacy. This approach captures various nonlinear phenomena and stylized facts with desirable robustness. Simulations show that the L_1-estimators are robust against innovation distributions and accurate for a moderate sample size, and the proposed...