A New Method For Multivariate ARCH Parameter Estimation

سال انتشار: 1387
نوع سند: مقاله کنفرانسی
زبان: انگلیسی
مشاهده: 2,233

فایل این مقاله در 6 صفحه با فرمت PDF قابل دریافت می باشد

استخراج به نرم افزارهای پژوهشی:

لینک ثابت به این مقاله:

شناسه ملی سند علمی:

ICEE16_198

تاریخ نمایه سازی: 6 اسفند 1386

چکیده مقاله:

This paper discusses the asymptotic properties of two-stage least-squares (TSLS) estimator of the parameters of multivariate autoregressive conditional heteroscedasticity (ARCH) model. The estimator is easy to obtain since it involves solving sets of linear equations. It will be shown that, under som conditions, this TSLS estimator is asymptotically consistent and its rate of convergence is the same as that of quasi maximum likelihood estimator (QMLE). At the same time, the computational load of TSLS estimator is extremely lower than that of QMLE. The performance of the TSLS estimator will be evaluated and compared with QMLE using simulations. Simulation results show that the performances of the two estimators are comparable even for small data records.

کلیدواژه ها:

نویسندگان

Saman Mousazadeh

Shiraz University-Shiraz-Iran

Mahmood Karimi

Shiraz University-Shiraz-Iran