M-estimators and Simulations with GARCH Models
In the studying of the financial market volatility, the GARCH model can well simulate some volatility characteristics, so it is greatly concerned by researchers. And the parameters estimation of the model has been a focus of the study. The most common method of the parameters estimation is LSE, but it is not stable. In order to find out more stable estimation methods, the definition of M-estimator was proposed; also its algorithm was researched in theory. Finally, M-estimators were used to simulate the model for comparison.
GARCH model m-estimator algorithm simulate
MENG Zhaowei SUN Congcong
Department of Mathematics, School of Science, Shandong University of Technology, P.R.China, 255049
国际会议
威海
英文
685-689
2010-07-24（万方平台首次上网日期，不代表论文的发表时间）