The asymptotic convexity of the negative likelihood function of GARCH models
نویسندگان
چکیده
We prove the convexity of the negative likelihood function in the asymptotic sense for GARCH models. This property provides assurance for the convergence of numerical optimization algorithms for maximum likelihood estimation of GARCH.A simulation study is conducted in order to compare the performance of several different iteration algorithms. An example based on the log-returns of foreign exchange rates is also given. © 2004 Elsevier B.V. All rights reserved.
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ورودعنوان ژورنال:
- Computational Statistics & Data Analysis
دوره 50 شماره
صفحات -
تاریخ انتشار 2006