New approximation for GARCH parameters estimate
Computation
2017-03-14 v2
Abstract
This paper presents a new approach for the optimization of GARCH parameters estimation. Firstly, we propose a method for the localization of the maximum. Thereafter, using the methods of least squares, we make a local approximation for the projection of the likelihood function curve on two dimensional planes by a polynomial of order two which will be used to calculate an estimation of the maximum.
Cite
@article{arxiv.1703.03004,
title = {New approximation for GARCH parameters estimate},
author = {Yakoub Boularouk and Nasr-eddine Hamri},
journal= {arXiv preprint arXiv:1703.03004},
year = {2017}
}
Comments
10 pages, 4 tables, 3 figures