Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation
- 1 January 1995
- journal article
- Published by JSTOR in Journal of Business & Economic Statistics
- Vol. 13 (1)
- https://doi.org/10.2307/1392516
Abstract
This article compares GARCH(1,1) and IGARCH(1,1) models via a Monte Carlo study of the finite-sample properties of the maximum likelihood estimator and related ...Keywords
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