Geodesic
Robust recursive estimation of GARCH models
Kybernetika, Tome 54 (2018) no. 6, pp. 1138-1155.

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

The robust recursive algorithm for the parameter estimation and the volatility prediction in GARCH models is suggested. It seems to be useful for various financial time series, in particular for (high-frequency) log returns contaminated by additive outliers. The proposed procedure can be effective in the risk control and regulation when the prediction of volatility is the main concern since it is capable to distinguish and correct outlaid bursts of volatility. This conclusion is demonstrated by simulations and real data examples presented in the paper.
DOI : 10.14736/kyb-2018-6-1138
Classification : 62F35, 62M10, 91G70
Keywords: GARCH model; Kalman filter; outlier; robust recursive estimation; volatility 
@article{10_14736_kyb_2018_6_1138,
     author = {Cipra, Tom\'a\v{s} and Hendrych, Radek},
     title = {Robust recursive estimation of {GARCH} models},
     journal = {Kybernetika},
     pages = {1138--1155},
     publisher = {mathdoc},
     volume = {54},
     number = {6},
     year = {2018},
     doi = {10.14736/kyb-2018-6-1138},
     mrnumber = {3902625},
     zbl = {07031765},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.14736/kyb-2018-6-1138/}
}
TY  - JOUR
AU  - Cipra, Tomáš
AU  - Hendrych, Radek
TI  - Robust recursive estimation of GARCH models
JO  - Kybernetika
PY  - 2018
SP  - 1138
EP  - 1155
VL  - 54
IS  - 6
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.14736/kyb-2018-6-1138/
DO  - 10.14736/kyb-2018-6-1138
LA  - en
ID  - 10_14736_kyb_2018_6_1138
ER  - 
%0 Journal Article
%A Cipra, Tomáš
%A Hendrych, Radek
%T Robust recursive estimation of GARCH models
%J Kybernetika
%D 2018
%P 1138-1155
%V 54
%N 6
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.14736/kyb-2018-6-1138/
%R 10.14736/kyb-2018-6-1138
%G en
%F 10_14736_kyb_2018_6_1138
Cipra, Tomáš; Hendrych, Radek. Robust recursive estimation of GARCH models. Kybernetika, Tome 54 (2018) no. 6, pp. 1138-1155. doi : 10.14736/kyb-2018-6-1138. http://geodesic.mathdoc.fr/articles/10.14736/kyb-2018-6-1138/

Cité par Sources :