Continuous Empirical Characteristic Function Estimation of GARCH Models
This paper develops a simple alternative estimation method for the GARCH models based on the empirical characteristic function. A set of Monte Carlo experiments is carried out to assess the performance of the proposed estimator. The results reveal that the proposed estimator has good finite sample properties and is comparable to the conventional maximum likelihood estimator. The method is applied to the foreign exchange data for empirical illustration.
|Date of creation:||May 2012|
|Date of revision:||May 2012|
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