Variance targeting estimator for GJR-GARCH under model’s misspecification

• Main Authors: Muhammad Asmu’i Abdul Rahim, Siti Meriam Zahari, S. Sarifah Radiah Shariff
• Format: Article
• Language: English
• Published: Penerbit Universiti Kebangsaan Malaysia 2018
• Online Access: http://journalarticle.ukm.my/12414/1/30%20Muhammad%20Asmu_i.pdf; http://journalarticle.ukm.my/12414/; http://www.ukm.my/jsm/malay_journals/jilid47bil9_2018/KandunganJilid47Bil9_2018.htm
• Institution: Universiti Kebangsaan Malaysia

The application of the Variance Targeting Estimator (VTE) is considered in GJR-GARCH(1,1) model, under three misspecification scenarios, which are, model misspecification, initial parameters misspecification and innovation distribution assumption misspecification. A simulation study has been perform...