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Continuous Empirical Characteristic Function Estimation of GARCH Models

Dinghai Xu

No 1204, Working Papers from University of Waterloo, Department of Economics

Abstract: This paper develops a simple alternative estimation method for the GARCH models based on the empirical characteristic function. A set of Monte Carlo experiments is carried out to assess the performance of the proposed estimator. The results reveal that the proposed estimator has good finite sample properties and is comparable to the conventional maximum likelihood estimator. The method is applied to the foreign exchange data for empirical illustration.

JEL-codes: C01 C58 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2012-05, Revised 2012-05
New Economics Papers: this item is included in nep-ecm and nep-ets
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