Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation

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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...

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Bibliographic Details
Main Authors:	Chan, Felix, Theoharakis, Billy
Format:	Journal Article
Published:	Elsevier Science 2011
Subjects:	Monte Carlo simulation GARCH STAR re-parameterization
Online Access:	http://hdl.handle.net/20.500.11937/30859

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