Politická ekonomie 2014, 62(1):100-116 | DOI: 10.18267/j.polek.939

Neparametrický heuristický přístup k odhadu modelu GARCH-M a jeho výhody

Jaromír Kukal, Tran Van Quang
1 České vysoké učení technické.
2 Vysoká škola ekonomická v Praze.

Estimating a GARCH-M Model by a Non-Parametric Heuristic Method and Its Advantages

The models from the GARCH family are often estimated by maximum likelihood method, either parametrically or non-parametrically. Since the parametric estimation procedure is based on an a priori distribution, its misspecification can lead to the inconsistency of the estimators. Therefore non-parametric approach, in which both model's parameters and the distribution of error terms are estimated from the data, seems to be a better alternative. In our work, we propose a non-parametric technique with the use of a heuristic called differential evolution to estimate the parameters of a GARCH-M model. This technique can more likely reach to a global solution of maximum likelihood estimation (MLE) task. Further, it can also more effectively control the required properties of the estimates. The suitability of our approach is verified on modeling the CZK/USD and CZK/EURO forward exchange rate premium of period from 2007 to 2012 by a GARCH-M model.

Keywords: GARCH-M model, Non-parametric method, heuristic, forward risk premium
JEL classification: C14, C61, F31

Published: February 1, 2014  Show citation

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Kukal, J., & Van Quang, T. (2014). Estimating a GARCH-M Model by a Non-Parametric Heuristic Method and Its Advantages. Politická ekonomie, 62(1), 100-116. doi: 10.18267/j.polek.939
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