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.

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Year of publication:	2012-05
Authors:	Xu, Dinghai
Institutions:	Department of Economics, University of Waterloo

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1204 10 pages
Classification:	C01 - Econometrics ; c58
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010905967