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Results tagged with bootstrap
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user 216945
The bootstrap is a resampling method to estimate the sampling distribution of a statistic.
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Estimation-based bootstrap using GARCH(1,1) and Rugarch
Estimation-based bootstrap
The estimation-based bootstrap of Freedman and Peters works as follows:
A model is fit to the original return series to obtain estimated parameters and residuals
Residuals … Rugarch
This is the output to my GARCH(1,1) which uses the following conditional variance equation
$σ_{t}[\hat{Θ}]$ = c + $\alpha$$ɛ^2_{t-1}$ + $\beta$$σ^2_{t-1}$
Now, following the estimation-based bootstrap …
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Residual Bootstrapp based on GARCH models with student-t distributed innovation
According to different papers & textbooks, the residual bootstrap requires the residuals to be i.i.d. $N(0,\sigma^2)$.
I tested different GARCH specifications. … Question 1: Is it a problem to conduct a residual bootstrap if residuals are not gaussian normally distributed? …
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