M-estimators and Simulations with GARCH Models

In the studying of the financial market volatility, the GARCH model can well simulate some volatility characteristics, so it is greatly concerned by researchers. And the parameters' estimation of the model has been a focus of the study. The most common method of the parameters' estimation is LSE, but it is not stable. In order to find out more stable estimation methods, the definition of M-estimator was proposed; also its algorithm was researched in theory. Finally, M-estimators were used to simulate the model for comparison.