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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- Knight, John L. & Yu, Jun, 2002.
"Empirical Characteristic Function In Time Series Estimation,"
Cambridge University Press, vol. 18(03), pages 691-721, June.
- Knight, John & Yu, Jun, 1999. "Empirical Characteristic Function in Time Series Estimation," Working Papers 220, Department of Economics, The University of Auckland.
- 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. Full references (including those not matched with items on IDEAS)
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