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|
|Contact details of provider:|| Postal: |
Phone: (519) 888-4567 ext 33695
Fax: (519) 725-0530
Web page: http://economics.uwaterloo.ca/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- 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.
When requesting a correction, please mention this item's handle: RePEc:wat:wpaper:1204. See general 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: (Pat Gruber)
If references are entirely missing, you can add them using this form.