Title of article
Finite sample properties of the ARCH class of models with stochastic volatility
Author/Authors
Deb، نويسنده , , Partha ، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1997
Pages
8
From page
27
To page
34
Abstract
This paper shows that ARCH-type models provide adequate estimates of conditional volatility when the data are generated under stochastic volatility. Under reasonable scenarios, ARCH estimates out-perform method-of moments and quasi-maximum likelihood estimators of the true model. © 1997 Elsevier Science S.A.
Keywords
stochastic volatility , Autoregressive conditional heteroskedasticity , Monte Carlo experiment
Journal title
Economics Letters
Serial Year
1997
Journal title
Economics Letters
Record number
434295
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