Estimating GARCH volatility in the presence of outliers

GARCH volatilities depend on the unconditional variance, which is a non-linear function of the parameters. Consequently, they can have larger biases than estimated parameters. Using robust methods to estimate both parameters and volatilities is shown to outperform Maximum Likelihood procedures.

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Year of publication:	2012
Authors:	Carnero, M. Angeles ; Peña, Daniel ; Ruiz, Esther
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 114.2012, 1, p. 86-90
Publisher:	Elsevier
Subject:	Financial markets \| Heteroscedasticity \| QML estimator \| Robustness

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Type of publication:	Article
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041771