Showing 1 - 4 of 4
Persistent link: https://www.econbiz.de/10005307235
Persistent link: https://www.econbiz.de/10005307294
The reduced form of the local level model with conditionally heteroscedastic GARCH(1,1) noises is analyzed. We show that the IMA-GARCH model is a good alternative but its conditional heteroscedasticity is weaker than this of the unobserved disturbances.
Persistent link: https://www.econbiz.de/10008551355
GARCH volatilities depend on the unconditional variance, which is a non-linear function of the parameters. Consequently, they can have larger biases than estimated parameters. Using robust methods to estimate both parameters and volatilities is shown to outperform Maximum Likelihood procedures.
Persistent link: https://www.econbiz.de/10011041771