Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time
A new algorithm is developed to provide a simulated maximum likelihood estimation of the GARCH diffusion model of Nelson (1990) based on return data only. The method combines two accurate approximation procedures, namely, the polynomial expansion of Ait-Sahalia (2008) to approximate the transition p...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2010
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1232 https://ink.library.smu.edu.sg/context/soe_research/article/2231/viewcontent/sml_garchdiffusion01.pdf |
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| Institution: | Singapore Management University |
| Language: | English |