Recursive Estimation of GARCH Models

DOI10.1080/03610910600880328MaRDI QIDQ3424299zbMATH OpenOpenAlexFDO

Authors Abdelhakim Aknouche, Hafida Guerbyenne

Publication date 15 February 2007

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610910600880328

zbMATH Keywords

GARCH processmartingale convergence theoremon-line estimationtwo-stage pseudolinear regressiontwo-stage recursive least squares

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• ARCH models as diffusion approximations
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3875113 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3488357 (Why is no real title available?)
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• On positive real transfer functions and the convergence of some recursive schemes
• Recursive estimation based on ARMA models
• The convergence of AML
• The second order properties of a time series recursion

Cited in

(18)

• RCA models with GARCH innovations
• Real time estimation of stochastic volatility processes
• The ARMA alphabet soup: a tour of ARMA model variants
• Ai algorithms for fitting GARCH parameters to empirical financial data
• Narrow big data in a stream: computational limitations and regression
• GARCH modelling of covariance in dynamical estimation of inverse solutions
• A recursive online algorithm for the estimation of time-varying ARCH parameters
• Estimating weak GARCH representations
• Parameter estimation for GARCH(1,1) models based on Kalman filter
• Robust recursive estimation of GARCH models.
• THE RECURSIVE FITTING OF SUBSET VARX MODELS
• Self-weighted recursive estimation of GARCH models
• Estimating GARCH models using support vector machines*
• Recursive estimation and testing of dynamic models
• An efficient descent direction method with cutting planes
• Robust estimation of Markov-switching GARCH models
• Two-stage RLS algorithm for estimating ARCH models
• A new estimator method for GARCH models

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