ESTIMATING PARAMETERS IN A GARCH (1,1) MODEL BASED ON TWO OBSERVATIONS: A CRITIQUE OF THE LARGE NUMBERS' LAW

被引：0

作者：

Agapie, Adriana ^{[1
]}

机构：

[1] Acad Econ Studies, Bucharest, Romania

来源：

PROCEEDINGS OF THE 4TH INTERNATIONAL CONFERENCE ON BUSINESS EXCELLENCE, VOL 1 | 2009年

关键词：

Behavioral Algorithms; Decision Making; Emergent Financial Markets; Evolutionary Algorithms; GUESSTIMATION;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In the particular behavioral algorithm under study, estimators delivered by this one for the example of a GARCH(1,1) model are dependent on some computational capabilities-namely number of iterations and replications performed. Therefore, the Large Numbers Law might he applied in a completely different dimension. An alternative toward waiting until the historical data series are recorded (while the underling process may change several times) is to use computers for correctly extracting information from the most recent data. Given the existent computational support, it is also possible to determine estimates for the rates of convergence. Also, prediction and political decisions based on these estimations are more properly grounded.

引用

页码：1 / 4

页数：4

共 50 条

[21] Asymptotics for semi-strong augmented GARCH(1,1) model
Lee, Oesook
Kim, Jooyoung
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2022, 51 (23) : 8093 - 8109
[22] Score test of fit for composite hypothesis in the GARCH(1,1) model
Stawiarski, Bartosz
JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2009, 139 (02) : 593 - 616
[23] Why does the standard GARCH(1,1) model work well?
Jafari, G. R.
Bahraminasab, A.
Norouzzadeh, P.
INTERNATIONAL JOURNAL OF MODERN PHYSICS C, 2007, 18 (07): : 1223 - 1230
[24] A closed-form estimator for the multivariate GARCH(1,1) model
Sbrana, Giacomo
Poloni, Federico
JOURNAL OF MULTIVARIATE ANALYSIS, 2013, 120 : 152 - 162
[25] A robust closed-form estimator for the GARCH(1,1) model
Bahamonde, Natalia
Veiga, Helena
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 2016, 86 (08) : 1605 - 1619
[26] Whittle estimation in a heavy-tailed GARCH(1,1) model
Mikosch, T
Straumann, D
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2002, 100 : 187 - 222
[27] Spurious inference in the GARCH (1,1) model when it is weakly identified
Ma, Jun
Nelson, Charles R.
Startz, Richard
STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 2007, 11 (01):
[28] The GARCH(1,1)-M model: results for the densities of the variance and the mean
De Schepper, A
Goovaerts, MJ
INSURANCE MATHEMATICS & ECONOMICS, 1999, 24 (1-2): : 83 - 94
[29] Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors
Zhang, Rongmao
Li, Chenxue
Peng, Liang
ECONOMETRIC REVIEWS, 2019, 38 (02) : 151 - 169
[30] The log-periodic-AR(1)-GARCH(1,1) model for financial crashes
Gazola, L.
Fernandes, C.
Pizzinga, A.
Riera, R.
EUROPEAN PHYSICAL JOURNAL B, 2008, 61 (03): : 355 - 362

← 1 2 3 4 5 →