Finite sample properties of maximum likelihood and quasi-maximum likelihood estimators of egarch models |
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Authors: | Partha Deb |
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Institution: | Department of Economics , Indiana University-Purdue University at Indianapolis , Cavanaugh Hall 516 425 University Boulevard, Indianapolis, IN, 46202 Phone: (317) 274-5216 Fax: (317) 274-5216 E-mail: pdeb@indyunix.iupui.edu |
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Abstract: | In this paper I examine finite sample properties of the maximum likelihood and quasi-maximum likelihood estimators of EGARCH(1,1) processes using Monte Carlo methods. I use response surface methodology to summarize the results of a wide array of experiments which suggest that the maximum likelihood estimator has reasonable finite sample properties. The Gaussian quasi-maximum likelihood estimator has poor finite sample properties when the data generating process has conditional excess kurtosis. Some of these poor properties appear to be asymptotic in nature. |
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Keywords: | Exponential GARCH Maximum Likelihood Quasi-Maximum Likelihood Monte Carlo Experiment Finite Sample Properties Response Surface |
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