The impacts of outliers on different estimators for GARCH processes: an empirical study

Vlad Ardelean

No 06/2009, FAU Discussion Papers in Economics from Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics

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.

Keywords: GARCH; Robust-Estimates; M-Estimates (search for similar items in EconPapers)
Date: 2009
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:iwqwdp:062009

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