The asymptotic convexity of the negative likelihood function of GARCH models

Ip, W. and Wong, H. and Pan, J. and Li, D.F. (2006) The asymptotic convexity of the negative likelihood function of GARCH models. Computational Statistics and Data Analysis, 50 (2). pp. 311-331. ISSN 0167-9473 (http://dx.doi.org/10.1016/j.csda.2004.08.012)

Abstract

We prove the convexity of the negative likelihood function in the asymptotic sense for GARCH models. This property provides assurance for the convergence of numerical optimization algorithms for maximum likelihood estimation of GARCH. A simulation study is conducted in order to compare the performance of several different iteration algorithms. An example based on the log-returns of foreign exchange rates is also given.

• Share and Export
  

  RDF+XMLBibTeXRIOXX2 XMLRDF+N-TriplesJSONDublin CoreAtomSimple MetadataReferMETSHTML CitationASCII CitationOpenURL ContextObjectEndNoteOpenURL ContextObject in SpanMODSMPEG-21 DIDLEP3 XMLData Cite XMLRIS (EndNote Online, Zotero, Ref manager, etc)RDF+N3Multiline CSV
• Item metadata

  Item type:	Article
  ID code:	4931
  Dates:	Date Event 2006 Published
  Subjects:	Science > Mathematics > Probabilities. Mathematical statistics
  Department:	Faculty of Science > Mathematics and Statistics
  Depositing user:	Strathprints Administrator
  Date deposited:	30 Nov 2007
  Last modified:	08 Apr 2024 16:00
  URI:	https://strathprints.strath.ac.uk/id/eprint/4931