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Box-Cox transformation is often used to reduce heterogeneity and to achieve a symmetric distribution of response variable. In this paper, we estimate the parameters of Box-Cox transformed ARCH(1) model using second-order leastsquare method and then we study the consistency and asymptotic normality for second-order least square (SLS) estimators. The SLS estimation was introduced byWang (2003, 2004) to estimate the parameters of nonlinear regression models with independent and identically distributed errors.



Box-Cox transformation second-order least square ARCH model

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Utami, H., & -, S. (2014). SECOND ORDER LEAST SQUARE ESTIMATION ON ARCH(1) MODEL WITH BOX-COX TRANSFORMED DEPENDENT VARIABLE. Journal of the Indonesian Mathematical Society, 19(2), 99–110.