Estimating GARCH volatility in the presence of outliers

C-Tier
Journal: Economics Letters
Year: 2012
Volume: 114
Issue: 1
Pages: 86-90

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:114:y:2012:i:1:p:86-90
Journal Field
General
Author Count
3
Added to Database
2026-01-25