Robust Estimation of the Linkage Matrix in O-Garch Model

摘要

Consistent robust estimation of the linkage matrix in O-GARCH model is studied. Although robust estimation is a known method, it has been rarely applied in the O-GARCH modeling due to the complicated distribution problems under the model specification. In this paper, we solve the distribution problems and use robust estimation to compare with the existing standard method. The results are very favorable in terms of both simulation and real data analysis.