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Estimating GARCH models: when to use what?

โœ Scribed by Da Huang; Hansheng Wang; Qiwei Yao

Book ID
110880072
Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
117 KB
Volume
11
Category
Article
ISSN
1368-4221

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It is well known in the literature that obtaining the parameter estimates for the Smooth Transition Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (STAR-GARCH) can be problematic due to computational difficulties. Conventional optimization algorithms do not seem to perform