The convergence of estimators based on heuristics: theory and application to a GARCH model (Q964667)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5697324
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | The convergence of estimators based on heuristics: theory and application to a GARCH model |
scientific article; zbMATH DE number 5697324 |
Statements
The convergence of estimators based on heuristics: theory and application to a GARCH model (English)
0 references
22 April 2010
0 references
A threshold accepting optimization algorithm is implemented for calculation of maximum likelihood (ML) estimators of the parameters of GARCH(1,1) models. The performance of the algorithm is assessed via simulations. It is compared to the ML estimator of the GARCH package for MathLab. The authors' conclusion is that their algorithm outperforms the MathLab in most cases.
0 references
threshold accepting algorithm
0 references
optimization
0 references
maximum likelihood estimates
0 references
0 references
0 references
0.8335930705070496
0 references
0.7763471007347107
0 references
0.7511737942695618
0 references
0.7301765084266663
0 references
