• DocumentCode
    577440
  • Title

    Parameters estimator of GARCH(1, 1) process with heavy tailed errors

  • Author

    Chen, Hailong ; You, Chengji ; Chen, Deyun

  • Author_Institution
    School of Computer Science and Technology, Harbin University of Science and Technology, Harbin China
  • fYear
    2012
  • fDate
    18-21 Sept. 2012
  • Firstpage
    1
  • Lastpage
    5
  • Abstract
    This paper studies a modification of quasi-maximum likelihood estimator for GARCH (1, 1) process with the errors, whose squares have regularly varying tail probabilities with the exponent α, α >; 0. We showed that, this estimator is unbiased and asymptotically normal with standard convergence rate of n1/2 regardless of whether the errors are heavy-tailed.
  • Keywords
    computational complexity; maximum likelihood estimation; parameter estimation; GARCH(1,1) process; heavy tailed errors; parameters estimator; quasi-maximum likelihood estimator; tail probabilities; Convergence; Econometrics; Educational institutions; Estimation; Indexes; Random variables; Standards; GARCH process; M-estimator; heavy tails; quasi-maximum likelihood; regular variation;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Strategic Technology (IFOST), 2012 7th International Forum on
  • Conference_Location
    Tomsk
  • Print_ISBN
    978-1-4673-1772-6
  • Type

    conf

  • DOI
    10.1109/IFOST.2012.6357606
  • Filename
    6357606
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=577440