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The impacts of outliers on different estimators for GARCH processes: an empirical study

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  • Ardelean, Vlad

Abstract

The Maximum likelihood estimation (MLE) is the most widely used method to estimate the parameters of a GARCH(p,q) process. This is owed to the fact that the MLE, among other properties, is asymptotically efficient. Even though the MLE is sensitive to outliers, which can occur in time series. In order to abate the influence of outliers, robust estimators are introduced. Afterwards an Monte Carlo study compares the introduced estimators.

Suggested Citation

  • Ardelean, Vlad, 2009. "The impacts of outliers on different estimators for GARCH processes: an empirical study," FAU Discussion Papers in Economics 06/2009, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    • Handle: RePEc:zbw:iwqwdp:062009
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    Keywords

    GARCH; Robust-Estimates; M-Estimates;
    All these keywords.

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