**Commenced**in January 2007

**Frequency:**Monthly

**Edition:**International

**Paper Count:**31324

##### Numerical Optimization within Vector of Parameters Estimation in Volatility Models

**Authors:**
J. Arneric,
A. Rozga

**Abstract:**

**Keywords:**
volatility,
heteroscedasticity,
Log-likelihood Maximization,
Quasi-Newton iteration procedure

**Digital Object Identifier (DOI):**
doi.org/10.5281/zenodo.1070761

**References:**

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[7] R. Engle, "The Use of ARCH/GARCH Models in Applied Econometrics", Journal of Economic Perspectives, Vol. 15, No. 4, 2001, pp. 157-168.

[8] W. Gould, J. Pitblado, and W. Sribney, Maximum Likelihood Estimation with Stata (third edition), College Station, StatCorp, 2006.

[9] C. Gourieroux, and J. Jasiak, Financial Econometrics: Problems, Models and Methods, Princeton University Press, 2001.

[10] L. Neralić, Uvod u Matemati─ìko programiranje 1, Element, Zagreb, 2003.

[11] J. Petrić, and S. Zlobec, Nelinearno programiranje, Nau─ìna knjiga, Beograd, 1983.

[12] P. Posedel, "Properties and Estimation of GARCH(1,1) Model", Metodolo┼íki zvezki, Vol. 2, No. 2, 2005, pp. 243-257.

[13] R. Schoenberg, "Optimization with the Quasi-Newton Method", Aptech Systems working paper, Walley WA, 2001, pp. 1-9.

[14] D. F. Shanno, "Conditioning of quasi Newton methods for function minimization", Mathematics of Computation, No. 24, 1970, pp. 145-160.