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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/108436

    Title: Estimation of Garch models from the autocorrelations of the squares of a process
    Authors: Baillie, Richard T.;Chung, Huimin
    Keywords: GARCH;autocorrelations;Bartlett's formula;QMLE.
    Date: 2001-11-01
    Issue Date: 2016-11-25 02:11:37 (UTC+8)
    Publisher: John Wiley & Sons
    Abstract: This paper shows how the parameters of a stable GARCH(1, 1) model can be estimated from the autocorrelations of the squared process. Specifically, the method applies a minimum distance estimator (MDE) to the sample autocorrelations of the squared realization. The asymptotic efficiency of the estimator is calculated from using the first g autocorrelations. The estimator can be surprisingly efficient for quite small numbers of autocorrelations and, in some cases, can be more efficient than the quasi maximum likelihood estimator (QMLE). Also, the estimated process can better fit the pattern of observed autocorrelations of squared returns than those from models estimated by maximum likelihood estimation (MLE). The estimator is applied to a series of hourly exchange rate returns, which are extremely non Gaussian.
    Relation: Journal of Time Series Analysis 22(6), pp.631–650
    DOI: 10.1111/1467-9892.00245
    Appears in Collections:[Department of Finance and Applications] Journal Article

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