GARCH fitting to binary data / latent data

ARDE

New Member
#1
Dear all

I am trying to fit a simple ARCH(1)/GARCH(1,1) model to a set of binary data, i.e. I assume a latent GARCH process that is only observed at the values a and b, say (whenever it crosses or hits those thresholds). I found some ideas on fitting a censored GARCH (by SX Wei, for example, see attachment), but this appears to me more complicated then my setup. I don't believe that this question has never been worked on, but did not find a suitable paper after some hours of searching. It would be fantastic to have a suitable R-package or general guidance.
Thank you very much for any ideas or hints.
Regards

ARDE