Semiparametric Maximum Lickelihood Estimation of GARCH Models

Jian Yang
Additional contact information
Jian Yang: The University of Western Ontario Department of Economics, https://economics.uwo.ca/

No 9816, University of Western Ontario, Departmental Research Report Series from University of Western Ontario, Department of Economics

Abstract: We consider a semiparametric GARCH model where the functional form for the conditional density of the errors is unknown. Adaptive conditions of the parameters are examined. Semiparametric Maximum Likelihood (SML) estimators are constructed by maximizing the nonparametric pseudo log-likelihood function computed using the residuals from initial root-n consistent estimates. SML estimators are shown to be adaptive for the adaptively estimable parameters and consistent for all identifiable parameters. Monte Carlo results suggest that SML estimators outperform quasi maximum likelihood estimators and the adaptive maximum likelihood estimators in finite samples.

Keywords: GARCH models; Adaptive estimation; Semiparametric estimation (search for similar items in EconPapers)
JEL-codes: C13 C14 (search for similar items in EconPapers)
Date: 1998
References: Add references at CitEc
Citations:

Downloads: (external link)
https://ir.lib.uwo.ca/cgi/viewcontent.cgi?article=1331&context=economicsresrpt (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:uwo:uwowop:9816

Ordering information: This working paper can be ordered from
https://economics.uw ... itting_ordering.html
The price is Paper copy available by mail at a cost of $10.00 Canadian each.

Access Statistics for this paper

More papers in University of Western Ontario, Departmental Research Report Series from University of Western Ontario, Department of Economics Department of Economics, Social Science Centre, University of Western Ontario, London, Ontario, Canada N6A 5C2.
Bibliographic data for series maintained by ().