A robust closed-form estimator for the GARCH(1,1) model

DOI10.1080/00949655.2015.1077387OpenAlexW2265036843MaRDI QIDQ5222426

Natalia Bahamonde, Helena Veiga

Publication date: 1 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10071/14722

zbMATH Keywords

robustnessautocorrelationsvalue-at-riskadditive outliersvolatility forecasting

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (6)

Robust closed-form estimators for the integer-valued GARCH(1,1) model ⋮ M-estimates for the multiplicative error model ⋮ Robust Two-Step Wavelet-Based Inference for Time Series Models ⋮ Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE ⋮ Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts ⋮ Correcting outliers in GARCH models: a weighted forward approach

Uses Software

• CAViaR

Cites Work

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• Testing normality in econometric models
• Robust estimates for GARCH models
• A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity
• Generalized autoregressive conditional heteroscedasticity
• Wavelet-based detection of outliers in financial time series
• Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
• Value at Risk Estimation
• A Comparative Study of Several Robust Estimates of Slope, Intercept, and Scale in Linear Regression
• High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
• Assessment of Local Influence in GARCH Processes
• Effects of outliers on the identification and estimation of GARCH models
• A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL

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