Ardelean, Vlad - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2009
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...
