Article ID Journal Published Year Pages File Type
416296 Computational Statistics & Data Analysis 2006 21 Pages PDF
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.

Related Topics
Physical Sciences and Engineering Computer Science Computational Theory and Mathematics
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