The asymptotic convexity of the negative likelihood function of GARCH models

被引：3
|
作者：
Ip, WC
Wong, H
Pan, JZ [1 ]
Li, DF
机构：
[1] Peking Univ, Sch Math Sci, LMAM, Beijing 100871, Peoples R China
[2] Peking Univ, Sch Math Sci, Dept Financial Math, Beijing 100871, Peoples R China
[3] Hong Kong Polytech Univ, Dept Appl Math, Hong Kong, Hong Kong, Peoples R China
[4] Peking Univ, Dept Probabil & Stat, Sch Math Sci, Beijing 100871, Peoples R China
来源：
COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2006年 / 50卷 / 02期
基金：
中国国家自然科学基金;
关键词：
GARCH; convexity; maximum likelihood estimation; iterative algorithm; convergence; foreign exchange rates;
D O I：
10.1016/j.csda.2004.08.012
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
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.
引用
收藏
页码：311 / 331
页数：21
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