Please use this identifier to cite or link to this item:

Generalized method of moments estimation of generalized autoregressive conditional heteroskedastic models

Authors Pang, Chun-man
Issue Date 1997
Summary In this dissertation, we employ the generalized method of moments (GMM) to estimate model parameters in the generalized autoregressive conditional heteroskedastic models. GMM introduced in Hansen (1982) not only provides us a simple way in estimating the parameters in the conditional heteroskedastic models, but also relax the distributional assumption in the maximum likelihood (ML) estimation. Thus, the GMM approach gives a particular useful solution for an important source of specification error. Under some suitable conditions, Hansen (1982) showed that GMM estimator is consistent and asymptotically normal. Simulation results show that GMM estimators have a good performance in estimating the parameters in the GARCH (1,1) regression model. Finally, the GMM is then used to estimate a GARCH model of the HANG SENG INDEX.
Note Thesis (M.Phil.)--Hong Kong University of Science and Technology, 1997
Language English
Format Thesis
Files in this item:
File Description Size Format
th_redirect.html 341 B HTML