Maximum Likelihood Estimation of a Garch-Stable Model
AbstractMaximum likelihood is used to estimate a generalized autoregressive conditional heteroskedastic (GARCH) process where the residuals have a conditional stable distribution (GARCH-stable). The scale parameter is modeled such that a GARCH process with normally distributed residuals is a special case. The usual methods of estimating the parameters of the stable distribution assume constant scale and will underestimate the characteristic exponent when the scale parameter follows a GARCH process. The parameters of the GARCH-stable model are estimated with daily foreign currency returns. Estimates of characteristic exponents are higher with the GARCH-stable than when independence is assumed. Monte Carlo hypothesis testing procedures, however, reject our GARCH-stable model at the 1 percent significance level in four out of five cases. Copyright 1995 by John Wiley & Sons, Ltd.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.
Volume (Year): 10 (1995)
Issue (Month): 3 (July-Sept.)
Contact details of provider:
Web page: http://www.interscience.wiley.com/jpages/0883-7252/
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.