Carnero, M.A., Peña, D., and Ruiz, E.
Economics Letters – 114.1 (2012), 86-90
Paraules clau:: Financial markets, Heteroscedasticity, Robustness
Resum: 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.