How does Sample Size Affect GARCH Models?

DOI

10.2991/jcis.2006.139How to use a DOI?

Keywords

GARCH model, Multiplicative Error Model, Volatility

Abstract

GARCH model has a long history and permeates the modern financial theory. Most researchers use several thousands of financial data and maximum likelihood to estimate the coefficients of model. Statistically, more samples imply better estimation but are hard to obtain. How many samples are sufficient for estimation? What is the impact of the limited samples on the estimation? In this paper, we examined these questions using GARCH, MEM-GARCH models and NASDAQ composite index. The problems, raised from the limited samples, were discussed. Correlation of the conditional variances of the estimated models between the limited samples and the large samples were calculated. The effectiveness of model estimation for the limited samples was evaluated by the correlation.

Copyright

© 2006, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - HS Raymond NG
AU  - KP LAM
PY  - 2006/10
DA  - 2006/10
TI  - How does Sample Size Affect GARCH Models?
BT  - Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.139
DO  - 10.2991/jcis.2006.139
ID  - NG2006/10
ER  -