Recursive estimators of GARCH models: Selected problems

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F14%3A10282456" target="_blank" >RIV/00216208:11320/14:10282456 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Recursive estimators of GARCH models: Selected problems
Original language description
Financial time series modelling is frequently linked to ARCH and GARCH models, which are obviously estimated by the computationally complex (conditional) maximum likelihood estimation procedure. However, in many practical applications, e.g. in the case of high-frequency data, it is necessary to adopt numerically more efficient techniques to calibrate or control such models. The aim of this contribution is to analyse a two stage recursive estimation procedure suggested for the standard GARCH modelling class. Particularly, a Monte Carlo study is performed to examine behaviour of the supposed method. Although the authors of the recurrent technique have presented its adequacy, the results delivered by simulation experiments are not convincing. Such conclusions clearly indicate a need for some revisions; consequently, main ideas of future research are introduced and commented.
Czech name
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Czech description
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Project
<a href="/en/project/GBP402%2F12%2FG097" target="_blank" >GBP402/12/G097: DYME-Dynamic Models in Economics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Conference Proceedings of the 32nd International Conference Mathematical Methods in Economics MME 2014
ISBN
978-80-244-4209-9
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
281-286
Publisher name
Palacký University
Place of publication
Olomouc
Event location
Olomouc
Event date
Sep 10, 2014
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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