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May 6, 2026AStA Advances in Statistical Analysis0 citationsOpen Access

Bootstrapping GARCH Models with Dependent Innovations for Accurate Volatility Estimates

Bootstrapping GARCH models under dependent innovations

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Authors

EBEric BeutnerJSJulia SchaumburgBSBarend Spanjers

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Overview

Simulation study demonstrates bootstrapping improves parameter estimates and confidence intervals in GARCH models.

Key Points

  • The aim is to improve the accuracy of uncertainty quantification in GARCH models with dependent innovations.
  • Introduced a recursive-design residual block bootstrap procedure.
  • Performed a simulation study to test validity under dependent innovations.
  • Conducted an empirical illustration comparing bootstrap procedures.
  • Confidence intervals from the recursive design are valid and potentially narrower.
  • Demonstrated residual dependence between two bootstrap procedures.

Cite This Study

Beutner et al. (2026) studied this question.

synapsesocial.com/papers/69faa30204f884e66b53399chttps://doi.org/10.1007/s10182-026-00560-x
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