Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation

DOI10.1080/03610910802395653zbMath1161.62053OpenAlexW2079527968WikidataQ57274974 ScholiaQ57274974MaRDI QIDQ3616249

Leonardo Bottolo, Fabio Bellini

Publication date: 24 March 2009

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

Full work available at URL: https://doi.org/10.1080/03610910802395653

zbMATH Keywords

Monte Carlo simulationsvolatility forecastinginnovation distributionIGARCH effectmarginal empirical distributionsweak and strong stationarity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30) Monte Carlo methods (65C05)

Related Items

Specification tests for the error distribution in GARCH models, Computational tools for comparing asymmetric GARCH models via Bayes factors, Stationarity domains for \(\delta\)-power GARCH process with heavy tails

Uses Software

• MFE toolbox

Cites Work

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