GARCH Models have become a workhouse in volatility forecasting of financial and monetary market time series. In this article, we assess the small sample properties in estimation and the performance in volatility forecasting of four competing distribution free methods, including quasi-maximum...

The convergence of estimators, e.g. maximum likelihood estimators, for increasing sample size is well understood in many cases. However, even when the rate of convergence of the estimator is known, practical application is hampered by the fact, that the estimator cannot always be obtained at...