GLM-methods for volatility models

doi:10.1177/1471082x0800800303

GLM-methods for volatility models

2008-09-01

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DOI：10.1177/1471082x0800800303

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We propose a multivariate volatility model for the behaviour of eight international equity indices. We show that many volatility models with heavy tails in financial work can be viewed as the GLM class of models with random effects in the dispersion. Hence, the h-likelihood approach, which provides efficient and simpler algorithms for GLM class, can be used as an estimation method for models used in finance. A comparison of the h-likelihood estimators with the ML estimators is made and its relative merits are discussed.

GLM-methods for volatility models

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