How does Sample Size Affect GARCH Models?
HS Raymond NG 0, KP LAM
HS Raymond NG
0Dept. of Sys. Engg. and Engg. Mgt.
Available Online October 2006.
- https://doi.org/10.2991/jcis.2006.139How to use a DOI?
- GARCH model, Multiplicative Error Model, Volatility
- 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.
- 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? BT - 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 - https://doi.org/10.2991/jcis.2006.139 ID - NG2006/10 ER -