Naslov
Algorithms for Maximum Likelihood Estimation of GARCH Models

Autori
Arnerić, Josip ; Lolić, Ivana ; Poklepović, Tea

Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni

Izvornik
Proceedings of the 13th International Symposium on Operational Research, SOR 2015, Bled, Slovenia, September 23-25, 2015 / Zadnik Stirn, L ; Žerovnik, J. ; Kljajić Borštar, M. ; Drobne, S. - Ljubljana : Slovensko društvo informatika, 2015, 273-278

ISBN
978-961-6165-45-7

Skup
The 13th International Symposium on Operational Research

Mjesto i datum
Bled, Slovenija, 23.09.2015. - 25.09.2015

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
GARCH(1 ; 1) ; maximum likelihood estimation ; Newton-Raphson ; BHHH ; BFGS ; DFP.

Sažetak
Analytical solution for the log-likelihood function maximization using first and second derivatives is too complex within GARCH type models. This paper examines NR, BHHH, BFGS and DFP as commonly used numerical algorithms. As solutions of different algorithms are sensitive to the initial values and convergence criteria, the contribution of this paper is to determine which algorithm gives the most stable estimates of the GARCH(1, 1) parameters with application to time series of daily returns from Zagreb Stock Exchange. This paper reveals advantages and disadvantages of different iteration procedures according to the approximation of the Hessian matrix.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA