The Estimation of GARCH Model Parameters Based on MCMC Algorithms
Wen Xiao-ni · Tongji yu xinxi luntan · 2009
Traditional method is to use ML method to estimate the parameters,and ML method is essentially an optimization method.But GARCH model ordinarily has many constraints among parameters,which result in the failure of trust of MLE results.This paper use Markov Monte Carlo(MCMC) method to estimate the parameters of normal-based GARCH(1,1) model.The results based on MCMC are more reliable and we also show results based on MCMC are better than that of ML based by using real financial data.