Parameter estimation of the stable GARCH(1,1) model
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F09%3A00207032" target="_blank" >RIV/00216208:11320/09:00207032 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Parameter estimation of the stable GARCH(1,1) model
Original language description
The paper develops a methodology of parameter estimation of a stable GARCH(1,1) model by simulating a sample from the model, estimating its parameters and comparing estimates with thoeretical values.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GD402%2F09%2FH045" target="_blank" >GD402/09/H045: Nonlinear Dynamics in Monetary and Financial Economics. Theory and Empirical Models.</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2009
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
WDS'09 Proceedings of Contributed Papers: Part I - Mathematics
ISBN
978-80-7378-101-9
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
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Publisher name
Matfyzpress
Place of publication
Praha
Event location
Praha
Event date
Jan 1, 2009
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
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