A robust closed-form estimator for the GARCH(1,1) model

DOI10.1080/00949655.2015.1077387OpenAlexW2265036843MaRDI QIDQ5222426FDOQ5222426

Authors: Natalia Bahamonde, Helena Veiga 

Publication date: 1 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10071/14722

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• A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
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zbMATH Keywords

robustnessadditive outliersvalue-at-riskvolatility forecastingautocorrelations

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Title not available (Why is that?)
• High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
• Robust estimates for GARCH models
• Testing normality in econometric models
• Assessment of Local Influence in GARCH Processes
• A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
• Outliers in GARCH processes
• Value at risk estimation
• A Comparative Study of Several Robust Estimates of Slope, Intercept, and Scale in Linear Regression
• Wavelet-based detection of outliers in financial time series
• Effects of outliers on the identification and estimation of GARCH models
• A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity
• Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE

Cited In (12)

• A closed-form estimator for the multivariate GARCH(1,1) model
• A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
• Robust recursive estimation of GARCH models.
• Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts
• Correcting outliers in GARCH models: a weighted forward approach
• Robust closed-form estimators for the integer-valued GARCH(1,1) model
• An almost closed form estimator for the EGARCH model
• The comparison of robust estimates for GARCH\((1, 1)\) model and application of example
• Some closed form robust moment-based estimators for the MEM(1,1)
• M-estimates for the multiplicative error model
• Robust Two-Step Wavelet-Based Inference for Time Series Models
• Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE

Uses Software

• CAViaR

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