Parameter estimation using ECM algorithm in ARCH model
Lingling Li, Rui Shan · 2011
Based on ECM algorithm to estimate parameters under the censored data, the article has given an algorithm of logarithmic normal distribution under the random censored data. We know that ARCH model can be approximated as normally distributed. Parameter estimation using logarithm likelihood estimate Algorithm in ARCH model we have got its iterative formula. Finally, there has given examples using MATLAB to further explain the application of ECM algorithm in financial time series.