Ma, Jun; Nelson, Charles; Startz, Richard - Department of Economics, University of Washington - 2007
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...
