Estimation of GARCH models from the autocorrelations of the squares of a process

Richard T. Baillie, Huimin Chung

研究成果: Article同行評審

30 引文 斯高帕斯(Scopus)

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.

原文English
頁(從 - 到)631-650
頁數20
期刊Journal of Time Series Analysis
22
發行號6
DOIs
出版狀態Published - 1 一月 2001

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