Name
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. |
Year | DOI | Venue |
|---|---|---|
2006 | 10.1016/j.csda.2004.08.012 | Computational Statistics & Data Analysis |
Keywords | Field | DocType |
negative likelihood function,garch,numerical optimization algorithm,foreign exchange rates,asymptotic sense,garch model,different iteration algorithm,iterative algorithm,simulation study,convexity,maximum likelihood estimation,convergence,asymptotic convexity,foreign exchange rate,maximum likelihood estimate,likelihood function | Econometrics,Convergence (routing),Convexity,Likelihood function,Foreign exchange rates,Iterative method,Maximum likelihood,Statistics,Autoregressive conditional heteroskedasticity,Mathematics,Exchange rate | Journal |
Volume | Issue | ISSN |
50 | 2 | Computational Statistics and Data Analysis |
Citations | PageRank | References |
3 | 4.14 | 0 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| W. C. Ip | 1 | 3 | 4.14 |
| Heung Wong | 2 | 80 | 22.74 |
| J. Z. Pan | 3 | 3 | 4.14 |
| D. F. Li | 4 | 3 | 4.14 |