Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation
It is well known in the literature that obtaining the parameter estimates for the Smooth Transition Autoregressive-Generalized Autoregressive Conditional Heteroskedasticity (STAR-GARCH) can be problematic due to computational difficulties. Conventional optimization algorithms do not seem to perform...
| Main Authors: | , |
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| Format: | Journal Article |
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Elsevier Science
2011
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| Online Access: | http://hdl.handle.net/20.500.11937/30859 |