Estimation of Parameters in the GARCH(1,1) Model

Neef, Linda Reiersølmoen; Løland, Anders; Aas, Kjersti

September 01, 2004

SAMBA

• Areas: Finance, Insurance and Energy Market
• Keywords: GARCH modelleing, S-PLUS, Autocorrelation function, Maximum likelihood, Minimum distance estimator
• Page(s): 63
• Name and number of project: 220195 GB-BFF
• Title: Estimation of Parameters in the GARCH(1,1) Model
• Author(s): Neef, Linda Reiersølmoen; Løland, Anders; Aas, Kjersti
• Report number: SAMBA/19/04
• Published date: September 01, 2004