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Aniruth Phon-On. A simplified approach to estimating parameter of the GARCH (1,1) model. (). King Mongkut's University of Technology North Bangkok. Central Library. : , 2019.
A simplified approach to estimating parameter of the GARCH (1,1) model
Name: Farida Farida
Organization :
Darma Persada University. Faculty of Economics
Email :
faridatuahuns@gmail.com
Name: Nifatamah Makaje
Organization :
Prince of Songkla University Pattani Campus. Faculty of Science and Technology
Name: Aniruth Phon-On
Organization :
Prince of Songkla University Pattani Campus. Faculty of Science and Technology
keyword:
Quasi newton method
LCSH:
PARAMETER ESTIMATION
Abstract:
The paper aims to present a method of parameter estimation of the GARCH (1,1) model. This estimation problem involves computing the parameter estimates by maximizing the log-likelihood function. The Quasi-Newton method and an appropriate starting point for the iterations were used. The idea of contour plots was applied to find the initial values of the parameters for the iterative process. The method presented in this paper was illustrated using the Paris Bourse stock exchange and Thailand rubber data. The estimated parameters were compared to the values obtain using the Excels Solver, in order to know accurateness of the method presented. The results showed that, apart from the Excels Solver, applying the Quasi-Newton method together with the idea of contour plots provides an appropriate approach for parameter estimation of the GARCH (1,1) model. The parameters obtained was then used to estimate the volatility of the Paris Bourse stock exchange data and the results obtained was consistent with a previous study.
King Mongkut's University of Technology North Bangkok. Central Library
Address:
BANGKOK
Email:
library@kmutnb.ac.th
Created:
2019
Modified:
2562-08-13
Issued:
2019-08-13
บทความ/Article
application/pdf
BibliograpyCitation :
APPLIED SCIENCE AND ENGINEERING PROGRESS. vol. 12, no. 3 (July-Sept. 2019), p. 158-163
eng
©copyrights King Mongkut's University of Technology North Bangkok
RightsAccess:
ใช้เวลา
0.031926 วินาที
Farida Farida
| Title | Contributor | Type |
|---|---|---|
| A simplified approach to estimating parameter of the GARCH (1,1) model
มหาวิทยาลัยเทคโนโลยีพระจอมเกล้าพระนครเหนือ Farida Farida;Nifatamah Makaje;Aniruth Phon-On | บทความ/Article |
Nifatamah Makaje
| Title | Contributor | Type |
|---|---|---|
| A simplified approach to estimating parameter of the GARCH (1,1) model
มหาวิทยาลัยเทคโนโลยีพระจอมเกล้าพระนครเหนือ Farida Farida;Nifatamah Makaje;Aniruth Phon-On | บทความ/Article |
Aniruth Phon-On
| Title | Contributor | Type |
|---|---|---|
| A simplified approach to estimating parameter of the GARCH (1,1) model
มหาวิทยาลัยเทคโนโลยีพระจอมเกล้าพระนครเหนือ Farida Farida;Nifatamah Makaje;Aniruth Phon-On | บทความ/Article |