Estimating GARCH volatility in the presence of outliers

M. Angeles Carnero, Daniel Peña and Esther Ruiz ()

Economics Letters, 2012, vol. 114, issue 1, 86-90

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.

Keywords: Financial markets; Heteroscedasticity; QML estimator; Robustness (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (41)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:114:y:2012:i:1:p:86-90

DOI: 10.1016/j.econlet.2011.09.023

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