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Estimating GARCH volatility in the presence of outliers

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2012
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Elsevier
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Abstract
GARCH volatilities depend on the unconditional variance, which is a non-linear function of the parameters. Consequently, they can have larger biases than estimated parameters. Using robust methods to estimate both parameters and volatilities is shown to outperform Maximum Likelihood procedures.
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Financial markets, Heteroscedasticity, QML estimator, Robustness
Bibliographic citation
Economics Letters, 2012, v. 114, n. 1, pp. 86-90