Agapie, Adriana; Bratianu, Constantin - In: Journal for Economic Forecasting (2010) 2, pp. 213-222
A behavioral algorithm for optimization - Repetitive Stochastic Guesstimation (RSG) - is adapted, with complete proofs for its global convergence, for estimating parameters in a GARCH(1,1) model, based on a very small number of observations. Estimators delivered by this algorithm for the example...