Variance targeting estimator for GJR-GARCH under model’s misspecification
The application of the Variance Targeting Estimator (VTE) is considered in GJR-GARCH(1,1) model, under three misspecification scenarios, which are, model misspecification, initial parameters misspecification and innovation distribution assumption misspecification. A simulation study has been perform...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
Penerbit Universiti Kebangsaan Malaysia
2018
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Subjects: | |
Online Access: | View Fulltext in Publisher View in Scopus |