Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)

How does Sample Size Affect GARCH Models?

Authors
HS Raymond NG 0, KP LAM
Corresponding Author
HS Raymond NG
0Dept. of Sys. Engg. and Engg. Mgt.
Available Online October 2006.
DOI
https://doi.org/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.
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Proceedings
Part of series
Advances in Intelligent Systems Research
Publication Date
October 2006
ISBN
978-90-78677-01-7
ISSN
1951-6851
DOI
https://doi.org/10.2991/jcis.2006.139How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - HS Raymond NG
AU  - KP LAM
PY  - 2006/10
DA  - 2006/10
TI  - How does Sample Size Affect GARCH Models?
PB  - Atlantis Press
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.139
DO  - https://doi.org/10.2991/jcis.2006.139
ID  - NG2006/10
ER  -