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Continuous Empirical Characteristic Function Estimation of GARCH Models

  • Dinghai Xu

    (Department of Economics, University of Waterloo)

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.

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File URL: http://economics.uwaterloo.ca/sites/economics.uwaterloo.ca/files/download_doc/12-004%20DX.pdf
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Paper provided by University of Waterloo, Department of Economics in its series Working Papers with number 1204.

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Length: 10 pages
Date of creation: May 2012
Date of revision: May 2012
Handle: RePEc:wat:wpaper:1204
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Web page: http://economics.uwaterloo.ca/

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  1. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  2. Rich, Robert W. & Raymond, Jennie & Butler, J. S., 1991. "Generalized instrumental variables estimation of autoregressive conditional heteroskedastic models," Economics Letters, Elsevier, vol. 35(2), pages 179-185, February.
  3. Knight, John L. & Yu, Jun, 2002. "Empirical Characteristic Function In Time Series Estimation," Econometric Theory, Cambridge University Press, vol. 18(03), pages 691-721, June.
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