Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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Estimation for Autoregressive Models with GARCH(1,1) Error via Optimal Estimating Functions.

  • Published : 1999.04.30
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Abstract

Optimal estimating functions for a class of autoregressive models with GARCH(1,1) error are discussed. The asymptotic properties of the estimator as the solution of the optimal estimating equation are investigated for the models. We have also some simulation results which suggest that the proposed optimal estimators have smaller sample variances than those of the Conditional least-squares estimators under the heavy-tailed error distributions.

Keywords

References

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