Variance targeting estimator for GJR-GARCH under model’s misspecification
The application of the Variance Targeting Estimator (VTE) is considered in GJR-GARCH(1,1) model, under three misspecification scenarios, which are, model misspecification, initial parameters misspecification and innovation distribution assumption misspecification. A simulation study has been perform...
| Published in: | Sains Malaysiana |
|---|---|
| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
Penerbit Universiti Kebangsaan Malaysia
2018
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| Online Access: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-85056373529&doi=10.17576%2fjsm-2018-4709-30&partnerID=40&md5=9acb687f8488e2f1cd44c2ff7b5672ef |