Francq, Christian; Horváth, Lajos - In: Journal of Financial Econometrics 9 (2011) 4, pp. 619-656
Variance targeting estimation (VTE) is a technique used to alleviate the numerical difficulties encountered in the quasi-maximum likelihood estimation (QMLE) of GARCH models. It relies on a reparameterization of the model and a first-step estimation of the unconditional variance. The remaining...