Estimation of GARCH models from the autocorrelations of the squares of a process (Q2784952)
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scientific article; zbMATH DE number 1733172
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of GARCH models from the autocorrelations of the squares of a process |
scientific article; zbMATH DE number 1733172 |
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24 April 2002
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GARCH processes
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minimum distance estimator
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exchange rate returns
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Estimation of GARCH models from the autocorrelations of the squares of a process (English)
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A stationary GARCH(1,1) process with not necessarily Gaussian innovations is considered. The authors propose a minimum distance estimator (MDE) for the parameters of the process. MDE is a point of minimum of the generalized Mahalonobis distance from a vector of sample autocorrelations of the squares of the process to the population autocorrelations. The performance of the MDE is investigated via simulations with Gaussian and t-Student innovations. The MDE methodology is applied to data on hourly DM -- \$ spot exchange rate returns from January 1986 till July 1986.
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