Abstract

http://ssrn.com/abstract=464103
 
 

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GARCH Processes: Theory, Simulations and Testing with Examples


Nitin Kumar


Indira Gandhi Institute of Development Research

October 2003


Abstract:     
In this paper a method is proposed for the testing and estimation of the GARCH effects. Estimation of the model is based on direct maximization of the log-likelihood function by numerical methods. Monte Carlo studies are conducted in order to evaluate the performace of various relevant designs. Also, we present Monte Carlo results showing that MLE estimators of the coefficient are less biased and more precise relative to their OLS counterpart in practically all the cases considered.

Number of Pages in PDF File: 20

Keywords: Time-Series, estimation, simulation, Monte-Carlo methods

JEL Classification: C32, C51, C15, C22

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Date posted: December 5, 2003  

Suggested Citation

Kumar, Nitin, GARCH Processes: Theory, Simulations and Testing with Examples (October 2003). Available at SSRN: http://ssrn.com/abstract=464103 or http://dx.doi.org/10.2139/ssrn.464103

Contact Information

Nitin Kumar (Contact Author)
Indira Gandhi Institute of Development Research ( email )
Santosh Nager
Film City Road, Goregaon(East)
Mumbai, Maharashtra 400065
India
+91-022-28400919 (Phone)
Feedback to SSRN


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