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
Main Authors:	Muhammad Asmu’i Abdul Rahim, Siti Meriam Zahari, S. Sarifah Radiah Shariff
Format:	Article
Language:	English
Published:	Penerbit Universiti Kebangsaan Malaysia 2018
Online Access:	http://journalarticle.ukm.my/12414/ http://journalarticle.ukm.my/12414/1/30%20Muhammad%20Asmu_i.pdf

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