Variance targeting estimator for GJR-GARCH under model’s misspecification

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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...

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Bibliographic Details
Published in:	Sains Malaysiana
Main Author:	Rahim M.A.A.; Zahari S.M.; Shariff S.S.R.
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2018
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

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