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Title:The impacts of outliers on different estimators for GARCH processes: an empirical study PDF Logo
Authors:Ardelean, Vlad
Issue Date:2009
Series/Report no.:IWQW discussion paper series 06/2009
Abstract:The Maximum likelihood estimation (MLE) is the most widely used method to estimate the parameters of a GARCH(p,q) process. This is owed to the fact that the MLE, among other properties, is asymptotically efficient. Even though the MLE is sensitive to outliers, which can occur in time series. In order to abate the influence of outliers, robust estimators are introduced. Afterwards an Monte Carlo study compares the introduced estimators.
Subjects:GARCH
Robust-Estimates
M-Estimates
Document Type:Working Paper
Appears in Collections:IWQW Discussion Paper Series, FAU Erlangen-Nürnberg

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