Conditional Quantile Estimation and Inference for Arch Models

Roger Koenker and Quanshui Zhao

Econometric Theory, 1996, vol. 12, issue 5, 793-813

Abstract: Quantile regression methods are suggested for a class of ARCH models. Because conditional quantiles are readily interpretable in semiparametric ARCH models and are inherendy easier to estimate robustly than population moments, they offer some advantages over more familiar methods based on Gaussian likelihoods. Related inference methods, including the construction of prediction intervals, are also briefly discussed.

Date: 1996
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