Misspecification and Domain Issues in Fitting Garch(1,1) Models: A Monte Carlo Investigation

被引：7

作者：

Bellini, Fabio ^{[2
]}

Bottolo, Leonardo ^{[1
]}

机构：

[1] Univ London Imperial Coll Sci Technol & Med, Inst Math Sci, London SW7 2PG, England

[2] Univ Milan, Dept Quantitat Methods, Milan, Italy

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2009年 / 38卷 / 01期

关键词：

IGARCH effect; Innovation distribution; Monte Carlo simulations; Volatility forecasting; Weak and strong stationarity; MAXIMUM-LIKELIHOOD ESTIMATOR; CONDITIONAL HETEROSKEDASTICITY; TIME-SERIES; STATIONARITY; IGARCH(1,1);

D O I：

10.1080/03610910802395653

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this work we investigate the impact of misspecification of the innovations in fitting Garch(1, 1) models. We show that an incorrect specification of the innovations together with the reduction of the parameter space to the weak stationarity region, can give rise to a spurious IGARCH effect. We address this point through an extensive Monte Carlo simulation study. We also analyze the impact of misspecification on forecasted volatilities, showing that innovations with light tails can lead to a remarkable overestimate of volatilities.

引用

页码：31 / 45

页数：15

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