Estimation of Garch models from the autocorrelations of the squares of a process

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题名:	Estimation of Garch models from the autocorrelations of the squares of a process
作者:	Baillie, Richard T.;Chung, Huimin
关键词:	GARCH;autocorrelations;Bartlett's formula;QMLE.
日期:	2001-11-01
上传时间:	2016-11-25 02:11:37 (UTC+8)
出版者:	John Wiley & Sons
摘要:	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.
關聯:	Journal of Time Series Analysis 22(6), pp.631–650
DOI:	10.1111/1467-9892.00245
显示于类别:	[財務系] 期刊論文

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