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

Zhi-Fang Su ； Ri-Dong Hu ； Jing-Han Cai ； Wen-Xing Li

《管理科學與統計決策》 7卷1期 (2010/03) Pp. 148-154

https://doi.org/10.6704/JMSSD.2010.7.1.148

並列摘要

In this paper we investigate the impact of misspecification of disturbance in the white noise term on the GARCH processing. We consider an AR (1)-GARCH (1, 1) model and compare the performance of parameters estimation with two optimization algorithms. The results show that misspecification 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 a 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.

並列關鍵字

GARCH Model ； Monte Carlo Simulation ； Optimization Algorithm

參考文獻

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