Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
416296 | Computational Statistics & Data Analysis | 2006 | 21 Pages |
Abstract
We prove the convexity of the negative likelihood function in the asymptotic sense for GARCH models. This property provides assurance for the convergence of numerical optimization algorithms for maximum likelihood estimation of GARCH. A simulation study is conducted in order to compare the performance of several different iteration algorithms. An example based on the log-returns of foreign exchange rates is also given.
Keywords
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
W.C. Ip, Heung Wong, J.Z. Pan, D.F. Li,