Estimating GARCH volatility in the presence of outliers Articles uri icon

publication date

  • January 2012

start page

  • 86

end page

  • 90

issue

  • 1

volume

  • 114

international standard serial number (ISSN)

  • 0165-1765

electronic international standard serial number (EISSN)

  • 1873-7374

abstract

  • GARCH volatilities depend on the unconditional variance, which is a non-linear function of the parameters. Consequently, they can have larger biases than estimated parameters. Using robust methods to estimate both parameters and volatilities is shown to outperform Maximum Likelihood procedures

keywords

  • financial markets; heteroscedasticity; qml estimator; robustness