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	The asymptotic convexity of the negative likelihood function of GARCH models
	Ip, WC ; Wong, H ; Pan, JZ ; Li, DF
	2006
关键词	GARCH convexity maximum likelihood estimation iterative algorithm convergence foreign exchange rates AVERAGE TIME-SERIES CONDITIONAL HETEROSCEDASTICITY STATIONARITY
英文摘要	We prove the convexity of the negative likelihood function in the asymptotic sense for GARCH models. This property provides assurance for the convergence of numerical optimization algorithms for maximum likelihood estimation of GARCH. A simulation study is conducted in order to compare the performance of several different iteration algorithms. An example based on the log-returns of foreign exchange rates is also given. (c) 2004 Elsevier B.V. All rights reserved.; http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000232246200004&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=8e1609b174ce4e31116a60747a720701 ; Computer Science, Interdisciplinary Applications; Statistics & Probability; SCI(E); EI; 1; ARTICLE; 2; 311-331; 50
语种	英语
出处	SCI ; EI
出版者	computational statistics data analysis
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/252363]
专题	数学科学学院
推荐引用方式 GB/T 7714	Ip, WC,Wong, H,Pan, JZ,et al. The asymptotic convexity of the negative likelihood function of GARCH models. 2006-01-01.

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