Quasi-maximum likelihood estimator of Laplace (1, 1) for GARCH models
This paper studies the quasi-maximum likelihood estimator (QMLE) for the generalized autoregressive conditional heteroscedastic (GARCH) model based on the Laplace (1,1) residuals. The QMLE is proposed to the parameter vector of the GARCH model with the Laplace (1,1) firstly. Under some certain condi...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2017-12-01
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| Series: | Open Mathematics |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/math-2017-0131 |