Year: 2017
Type: preprint
Abstract: This paper presents a new approach for the optimization of GARCH parameters estimation. Firstly, we propose a method for the localization of the maximum. Thereafter, using the methods of least squares, we make a local approximation for the projection of the likelihood function curve on two dimensional planes by a polynomial of order two which will be used to calculate an estimation of the maximum.
Source: arXiv (Cornell University)
Authors: Boularouk, Yakoub, Hamri, Nasr-eddine
Institution: Centre Universitaire de Mila
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2951361527