Estimating GARCH volatility in the presence of outliers
AbstractGARCH volatilities depend on the unconditional variance, which is a non-linear function of the parameters. Consequently, they can have larger biases than estimated parameters. Using robust methods to estimate both parameters and volatilities is shown to outperform Maximum Likelihood procedures.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 114 (2012)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/ecolet
Financial markets; Heteroscedasticity; QML estimator; Robustness;
Other versions of this item:
- Carnero, María Ángeles & Peña, Daniel & Ruiz, Esther, 2012. "Estimating GARCH volatility in the presence of outliers," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/15744, Universidad Carlos III de Madrid.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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