期刊論文
| 學年 | 90 |
|---|---|
| 學期 | 1 |
| 出版（發表）日期 | 2001-11-01 |
| 作品名稱 | Estimation of Garch models from the autocorrelations of the squares of a process |
| 作品名稱（其他語言） | |
| 著者 | Richard T. Baillie; Chung, Huimin |
| 單位 | |
| 出版者 | |
| 著錄名稱、卷期、頁數 | Journal of Time Series Analysis 22(6), pp.631–650 |
| 摘要 | This paper shows how the parameters of a stable GARCH(1, 1) model can be estimated from the autocorrelations of the squared process. Specifically, the method applies a minimum distance estimator (MDE) to the sample autocorrelations of the squared realization. The asymptotic efficiency of the estimator is calculated from using the first g autocorrelations. The estimator can be surprisingly efficient for quite small numbers of autocorrelations and, in some cases, can be more efficient than the quasi maximum likelihood estimator (QMLE). Also, the estimated process can better fit the pattern of observed autocorrelations of squared returns than those from models estimated by maximum likelihood estimation (MLE). The estimator is applied to a series of hourly exchange rate returns, which are extremely non Gaussian. |
| 關鍵字 | GARCH;autocorrelations;Bartlett's formula;QMLE. |
| 語言 | en |
| ISSN | |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | GBR |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/108436 ) |