Arbeitspapier

The impacts of outliers on different estimators for GARCH processes: an empirical study

The Maximum likelihood estimation (MLE) is the most widely used method to estimate the parameters of a GARCH(p,q) process. This is owed to the fact that the MLE, among other properties, is asymptotically efficient. Even though the MLE is sensitive to outliers, which can occur in time series. In order to abate the influence of outliers, robust estimators are introduced. Afterwards an Monte Carlo study compares the introduced estimators.

Language
Englisch

Bibliographic citation
Series: IWQW Discussion Papers ; No. 06/2009

Classification
Wirtschaft
Subject
GARCH
Robust-Estimates
M-Estimates
ARCH-Modell
Maximum-Likelihood-Methode
Robustes Verfahren
Theorie

Event
Geistige Schöpfung
(who)
Ardelean, Vlad
Event
Veröffentlichung
(who)
Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW)
(where)
Nürnberg
(when)
2009

Handle
Last update
10.03.2025, 11:42 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Ardelean, Vlad
  • Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW)

Time of origin

  • 2009

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