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)
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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.
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Item type: Article ID code: 4931 Dates: DateEvent2006PublishedSubjects: Science > Mathematics > Probabilities. Mathematical statistics Department: Faculty of Science > Mathematics and Statistics Depositing user: Strathprints Administrator Date deposited: 30 Nov 2007 Last modified: 01 Aug 2024 12:02 URI: https://strathprints.strath.ac.uk/id/eprint/4931
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