The impacts of outliers on different estimators for GARCH processes: an empirical study

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 order to abate the influence of outliers, robust estimators are introduced. Afterwards an Monte Carlo study compares the introduced estimators.

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Year of publication:	2009
Authors:	Ardelean, Vlad
Institutions:	Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg
Subject:	GARCH \| Robust-Estimates \| M-Estimates

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Extent:	application/pdf
Series:	IWQW Discussion Paper Series. - ISSN 1867-6707.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 06/2009
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008493578