Hwang, Soosung; Pereira, Pedro L. Valls - In: The European Journal of Finance 12 (2006) 6-7, pp. 473-494
It is shown that the ML estimates of the popular GARCH(1,1) model are significantly negatively biased in small samples … indicate that a high level of persistence in GARCH(1,1) models obtained using a large number of observations has … proposed that at least 250 observations are needed for ARCH(1) models and 500 observations for GARCH(1,1) models. A simple …