Alternative estimators for factor garch models—A monte carlo comparison
提出四种因子GARCH模型估计量，通过双变量单因子GARCH模型的蒙特卡洛研究，比较它们在偏差、标准误、置信区间覆盖等方面的有限样本性质，帮助研究者选择合适估计方法。
Abstract This paper proposes four estimators for factor GARCH models: two‐stage univariate GARCH (2SUE), two‐stage quasi‐maximum likelihood (2SML), quasi‐maximum likelihood with known factor weights (RMLE), quasi‐maximum likelihood with unknown factor weights (MLE). A Monte‐Carlo study is designed for bivariate one‐factor GARCH models to examine the finite sample properties. Results are presented for biases, ratios of standard errors to standard deviations, ratios of variances, coverage of confidence intervals, effects of misspecified factor weights, and finite sample properties of the 2SUE for factor GARCH‐in‐mean models.