The Impact of Misspecification of Disturbance on Parameters Estimation of GARCH Model

摘要：

In this paper we investigate the impact of misspecification of disturbance in the white noise term on the GARCH processing. We consider an AR(I)-GARCH(1,1) model and compare the performance of parameters estimation with two optimization algorithms. The results show that misspeciflcation of disturbance has little effect on the parameters estimation of conditional mean equation, but it will lead to a big biased value in conditional variance equation when we check the coefficients of ARCH and GARCH terms. Moreover, in the case of small sample,the NLMINB algorithm reaches n better estimator for the coefficients of GARCH term than that of LBFGSB. On the other hand, as the sample size increases, the LBFGSB algorithm will demonstrate faster convergent rate than that of NLMINB algorithm.

关键词： GARCH Model Monte Carlo Simulation Optimization Algorithm

作者: Zhifang Su Ridong Hu Jinghan Cai Wenxing Li

作者单位: Institute of Quantitative Economics Huaqiao University Quanzhou, China

会议类型: 国际会议

会议名称: The 10th International Conference on Intelligent Technologies(第十届智慧科技国际会议 InTech09)

会议地点: 桂林

会议语种:英文

页码: 676-678

在线出版日期: 2009-12-12（万方平台首次上网日期，不代表论文的发表时间）