On Estimation of GARCH Models with an Application to Nordea Stock Prices
نویسنده
چکیده
We are interested in estimation of stationary GARCH models. In simulation studies, we assess the performance of the maximum likelihood estimator and Yule-Walker estimator of the GARCH (1, 1) model. Finally we attempt to fit the dynamics of daily stock returns on Nordea by a GARCH model.
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