GARCH Processes: Theory, Simulations and Testing with Examples

20 Pages Posted: 5 Dec 2003  

Nitin Kumar

Indira Gandhi Institute of Development Research

Date Written: 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.

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

JEL Classification: C32, C51, C15, C22

Suggested Citation

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

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)

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