Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1149824 | Journal of Statistical Planning and Inference | 2008 | 23 Pages |
Abstract
In this paper we present two robust estimates for GARCH models. The first is defined by the minimization of a conveniently modified likelihood and the second is similarly defined, but includes an additional mechanism for restricting the propagation of the effect of one outlier on the next estimated conditional variances. We study the asymptotic properties of our estimates proving consistency and asymptotic normality. A Monte Carlo study shows that the proposed estimates compare favorably with respect to other robust estimates. Moreover, we consider some real examples with financial data that illustrate the behavior of these estimates.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Nora Muler, Victor J. Yohai,