Author(s)

Xingfa Zhang, Qiang Xiong^*

School of Economics and Statistics, Guangzhou University, Guangzhou, China.

This article provides an alternative approach to estimate the functional coefficient ARCH-M model given by Zhang, Wong and Li (2016) [1]. The new method has improvement in both computational and theoretical parts. It is found that the computation cost is saved and certain convergence rate for parameter estimation has been obtained.

Functional Coefficient, ARCH-M Model, Consistency, Risk Aversion

Zhang, X. and Xiong, Q. (2016) An Alternative Estimation for Functional Coefficient ARCH-M Model. Theoretical Economics Letters, 6, 647-657. doi: 10.4236/tel.2016.64070.