Indirect Estimation of ‐ Stable
نویسنده
چکیده
It is a well-known fact that financial returns exhibit conditional heteroscedasticity and fat tails. While the GARCH-type models are very popular in depicting the conditional heteroscedasticity, the α-stable distribution is a natural candidate for the conditional distribution of financial returns. The α-stable distribution is a generalization of the normal distribution and is described by four parameters, two of which deal with tail-thickness and asymmetry. However, practical implementation of α-stable distribution in finance applications has been limited by its estimation difficulties. In this paper, we propose an indirect approach of estimating GARCH models with αstable innovations by using as auxiliary models GARCH-type models with Student’s t distributed innovations. We provide comprehensive empirical evidence on the performance of the method within a series of Monte Carlo simulation studies and an empirical application to financial returns.
منابع مشابه
Estimation of supper limit canopy to air temperature differential for sugarbeet using indirect measurement of turgor potential
متن کامل
A Robust Distributed Estimation Algorithm under Alpha-Stable Noise Condition
Robust adaptive estimation of unknown parameter has been an important issue in recent years for reliable operation in the distributed networks. The conventional adaptive estimation algorithms that rely on mean square error (MSE) criterion exhibit good performance in the presence of Gaussian noise, but their performance drastically decreases under impulsive noise. In this paper, we propose a rob...
متن کاملEstimation of Stable Distributions by Indirect Inference
This article deals with the estimation of the parameters of an α-stable distribution by the indirect inference method with the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate for an auxiliary model since it has the same number of parameters as the α-stable distribution, with each parameter playing a similar role. To improve the properties of the ...
متن کاملSimulation-based Estimation Methods for α-Stable Distributions and Processes
The α-stable family of distributions constitutes a generalization of theGaussian distribution, allowing for asymmetry and thicker tails. Its practicalusefulness is coupled with a marked theoretical appeal, given that it stemsfrom a generalized version of the central limit theorem in which the assump-tion of the finiteness of the variance is replaced by a much less restrictiv...
متن کاملRetrospective assessment of radiation dose by Fluorescence In Situ Hybridization and evaluation of stable chromosomal aberrations
Estimation of absorbed dose for radiation workers or person involved in different radiological accident is the aim of biodosimetry. Cytogenetic methods are the most current and applicable biodosimetry tools. In chronic or protracted exposure, fluorescence in situ hybridization (FISH), stable chromosomal aberration is used for estimation of absorbed dose. For precise estimation of absorbed dose,...
متن کامل