QML Estimation of GARCH(1,1) Process
In financial time series, the conventional fitting procedure (QMLE) suffers from the outlier problem. Estimation of the parameters in GARCH model, can be adversely affected by a single outlier.simulation studies will not only demonstrate the robustness of this estimate, but will provide evidence as...
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| Format: | Article |
| Language: | Arabic |
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Faculty of Commerce, Port Said University
2017-01-01
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| Series: | Maǧallaẗ Al-Buḥūṯ Al-Mālīyyaẗ wa Al-Tiğāriyyaẗ |
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| Online Access: | https://jsst.journals.ekb.eg/article_59251_527db5721fc97fb5d51657abf05f3df7.pdf |