{"title":"具有重尾误差的GARCH(1,1)过程参数估计","authors":"Hailong Chen, Chengji You, Deyun Chen","doi":"10.1109/IFOST.2012.6357606","DOIUrl":null,"url":null,"abstract":"This paper studies a modification of quasi-maximum likelihood estimator for GARCH (1, 1) process with the errors, whose squares have regularly varying tail probabilities with the exponent α, α >; 0. We showed that, this estimator is unbiased and asymptotically normal with standard convergence rate of n1/2 regardless of whether the errors are heavy-tailed.","PeriodicalId":319762,"journal":{"name":"2012 7th International Forum on Strategic Technology (IFOST)","volume":"62 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2012-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"Parameters estimator of GARCH(1, 1) process with heavy tailed errors\",\"authors\":\"Hailong Chen, Chengji You, Deyun Chen\",\"doi\":\"10.1109/IFOST.2012.6357606\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper studies a modification of quasi-maximum likelihood estimator for GARCH (1, 1) process with the errors, whose squares have regularly varying tail probabilities with the exponent α, α >; 0. We showed that, this estimator is unbiased and asymptotically normal with standard convergence rate of n1/2 regardless of whether the errors are heavy-tailed.\",\"PeriodicalId\":319762,\"journal\":{\"name\":\"2012 7th International Forum on Strategic Technology (IFOST)\",\"volume\":\"62 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2012-11-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2012 7th International Forum on Strategic Technology (IFOST)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/IFOST.2012.6357606\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2012 7th International Forum on Strategic Technology (IFOST)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/IFOST.2012.6357606","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Parameters estimator of GARCH(1, 1) process with heavy tailed errors
This paper studies a modification of quasi-maximum likelihood estimator for GARCH (1, 1) process with the errors, whose squares have regularly varying tail probabilities with the exponent α, α >; 0. We showed that, this estimator is unbiased and asymptotically normal with standard convergence rate of n1/2 regardless of whether the errors are heavy-tailed.
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