Estimation of Volatility on the Small Sample with Generalized Maximum Entropy

• Main Authors: Quanrui Song, Songsak Sriboonchitta, Somsak Chanaim, Chongkolnee Rungruang
• Format: Book Series
• Published: 2018
• Subjects: Computer Science; Mathematics
• Online Access: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85043990881&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/58577
• Institution: Chiang Mai University

© 2018, Springer International Publishing AG, part of Springer Nature. Generalized autoregressive conditional heteroscedasticity (GARCH) provides useful techniques for modeling the dynamic volatility model. Several estimation techniques have been developed over the years, for examples Maximum likeli...