Estimating GARCH volatility in the presence of outliers Articles uri icon

publication date

  • January 2012

start page

  • 86

end page

  • 90


  • 1


  • 114

International Standard Serial Number (ISSN)

  • 0165-1765

Electronic International Standard Serial Number (EISSN)

  • 1873-7374


  • 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


  • financial markets; heteroscedasticity; qml estimator; robustness