英文文献：Selecting the Order of an ARCH Model-选择一个ARCH模型的顺序
英文文献作者：Anthony W. Hughes,Maxwell L. King,Kwek Kian Teng
英文文献摘要：
Since the parameters of an autoregressive conditional heteroskedasticity (ARCH) process must be non-negative, inference on ARCH parameters can be improved by using inequality constrained estimation. In this paper, we extend this principle to the problem of ARCH lag order selection. We show that in the case of AIC, the appropriate adjustment to the penalty function has a simple form.

由于自回归条件异方差(ARCH)过程的参数必须是非负的，因此可以通过不等式约束估计来改进对ARCH参数的推断。本文将该原理推广到拱滞序选择问题中。在AIC的情况下，对罚函数的适当调整有一个简单的形式。