Estimating GARCH models: when to use what?

DOI10.1111/J.1368-423X.2008.00229.XMaRDI QIDQ3499426zbMATH OpenFDO

Authors Da Huang, Hansheng Wang, Qiwei Yao

Publication date 29 May 2008

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1368-423X.2008.00229.X

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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Cites work

• \(L_{p}\)-estimators in ARCH models
• A new neuro-fuzzy identification model of nonlinear dynamic systems
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Estimation in conditionally heteroscedatic time series models.
• GARCH processes: structure and estimation
• Generalised information criteria in model selection
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Least absolute deviations estimation for ARCH and GARCH models
• Nonlinear time series. Nonparametric and parametric methods
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
• WHITTLE ESTIMATION OF ARCH MODELS

Cited in

(10)

• Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
• Specification tests for the error distribution in GARCH models
• Testing for the generalized normal-Laplace distribution with applications
• On the empirical characteristic function process of the residuals in GARCH models and applications
• Outliers and misleading leverage effect in asymmetric GARCH-type models
• Approximating volatilities by asymmetric power GARCH functions
• Least absolute deviations estimation for ARCH and GARCH models
• Let's get LADE: robust estimation of semiparametric multiplicative volatility models
• GARCH model selection criteria
• Nonlinear time series modeling and forecasting for periodic and arch effects

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