Asymptotic properties of M-estimator for GARCH(1, 1) model parameters
GARCH(1, 1) model is used for analysis and forecasting of financial and economic time series. In the classical version, the maximum likelihood method is used to estimate the model parameters. However, this method is not convenient for analysis of models with residuals distribution different from no...
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| Format: | Article |
| Language: | Belarusian |
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Belarusian State University
2020-07-01
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| Series: | Журнал Белорусского государственного университета: Математика, информатика |
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| Online Access: | https://journals.bsu.by/index.php/mathematics/article/view/2971 |