Journal
JOURNAL OF STATISTICAL PLANNING AND INFERENCE
Volume 139, Issue 4, Pages 1449-1461Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.jspi.2008.07.014
Keywords
AR-GARCH; RCA; Volatility; Combined estimating function
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Accurate estimates of volatility are needed in risk management. Generalized autoregressive conditional heteroscedastic (GARCH) models and random coefficient autoregressive (RCA) models have been used for volatility modelling. Following Heyde [1997. Quasi-likelihood and its Applications. Springer, New York], volatility estimates are obtained by combining two different estimating functions. It turns out that the combined estimating function for the parameter in autoregressive processes with CGARCH errors and RCA models contains maximum information. The combination of the least squares (LS) estimating function and the least absolute deviation (LAD) estimating function with application to GARCH model error identification is discussed as an application. (C) 2008 Elsevier B.V. All rights reserved.
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