Robust estimates for GARCH models

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In this paper we present two robust estimates for GARCH models. The first is defined by the minimization of a conveniently modified likelihood and the second is similarly defined, but includes an additional mechanism for restricting the propagation of the effect of one outlier on the next estimated...

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Detalles Bibliográficos
Autores principales: Muler, N., Yohai, V.J.
Formato: JOUR
Materias:
GARCH models
M-estimates
Outliers
Robust estimation
Acceso en línea:http://hdl.handle.net/20.500.12110/paper_03783758_v138_n10_p2918_Muler
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires
id todo:paper_03783758_v138_n10_p2918_Muler
record_format dspace
spelling todo:paper_03783758_v138_n10_p2918_Muler2023-10-03T15:32:15Z Robust estimates for GARCH models Muler, N. Yohai, V.J. GARCH models M-estimates Outliers Robust estimation In this paper we present two robust estimates for GARCH models. The first is defined by the minimization of a conveniently modified likelihood and the second is similarly defined, but includes an additional mechanism for restricting the propagation of the effect of one outlier on the next estimated conditional variances. We study the asymptotic properties of our estimates proving consistency and asymptotic normality. A Monte Carlo study shows that the proposed estimates compare favorably with respect to other robust estimates. Moreover, we consider some real examples with financial data that illustrate the behavior of these estimates. © 2007 Elsevier B.V. All rights reserved. JOUR info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar http://hdl.handle.net/20.500.12110/paper_03783758_v138_n10_p2918_Muler
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-134
collection Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA)
topic GARCH models
M-estimates
Outliers
Robust estimation
spellingShingle GARCH models
M-estimates
Outliers
Robust estimation
Muler, N.
Yohai, V.J.
Robust estimates for GARCH models
topic_facet GARCH models
M-estimates
Outliers
Robust estimation
description In this paper we present two robust estimates for GARCH models. The first is defined by the minimization of a conveniently modified likelihood and the second is similarly defined, but includes an additional mechanism for restricting the propagation of the effect of one outlier on the next estimated conditional variances. We study the asymptotic properties of our estimates proving consistency and asymptotic normality. A Monte Carlo study shows that the proposed estimates compare favorably with respect to other robust estimates. Moreover, we consider some real examples with financial data that illustrate the behavior of these estimates. © 2007 Elsevier B.V. All rights reserved.
format JOUR
author Muler, N.
Yohai, V.J.
author_facet Muler, N.
Yohai, V.J.
author_sort Muler, N.
title Robust estimates for GARCH models
title_short Robust estimates for GARCH models
title_full Robust estimates for GARCH models
title_fullStr Robust estimates for GARCH models
title_full_unstemmed Robust estimates for GARCH models
title_sort robust estimates for garch models
url http://hdl.handle.net/20.500.12110/paper_03783758_v138_n10_p2918_Muler
work_keys_str_mv AT mulern robustestimatesforgarchmodels
AT yohaivj robustestimatesforgarchmodels
_version_ 1807324658617286656

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