GLM-methods for volatility models

摘要

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