@article{(Open Science Index):https://publications.waset.org/pdf/8368,
	  title     = {Numerical Optimization within Vector of Parameters Estimation in Volatility Models},
	  author    = {J. Arneric and  A. Rozga},
	  country	= {},
	  institution	= {},
	  abstract     = {In this paper usefulness of quasi-Newton iteration
procedure in parameters estimation of the conditional variance
equation within BHHH algorithm is presented. Analytical solution of
maximization of the likelihood function using first and second
derivatives is too complex when the variance is time-varying. The
advantage of BHHH algorithm in comparison to the other
optimization algorithms is that requires no third derivatives with
assured convergence. To simplify optimization procedure BHHH
algorithm uses the approximation of the matrix of second derivatives
according to information identity. However, parameters estimation in
a/symmetric GARCH(1,1) model assuming normal distribution of
returns is not that simple, i.e. it is difficult to solve it analytically.
Maximum of the likelihood function can be founded by iteration
procedure until no further increase can be found. Because the
solutions of the numerical optimization are very sensitive to the
initial values, GARCH(1,1) model starting parameters are defined.
The number of iterations can be reduced using starting values close
to the global maximum. Optimization procedure will be illustrated in
framework of modeling volatility on daily basis of the most liquid
stocks on Croatian capital market: Podravka stocks (food industry),
Petrokemija stocks (fertilizer industry) and Ericsson Nikola Tesla
stocks (information-s-communications industry).},
	    journal   = {International Journal of Information and Communication Engineering},
	  volume    = {3},
	  number    = {1},
	  year      = {2009},
	  pages     = {112 - 116},
	  ee        = {https://publications.waset.org/pdf/8368},
	  url   	= {https://publications.waset.org/vol/25},
	  bibsource = {https://publications.waset.org/},
	  issn  	= {eISSN: 1307-6892},
	  publisher = {World Academy of Science, Engineering and Technology},
	  index 	= {Open Science Index 25, 2009},
	}