Francq, Christian; Horvath, Lajos; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2009
Variance targeting estimation is a technique used to alleviate the numerical difficulties encountered in the quasi-maximum likelihood (QML) estimation of GARCH models. It relies on a reparameterization of the model and a first-step estimation of the unconditional variance. The remaining...