ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL

Woocheol Kim and Oliver Linton

Econometric Theory, 2011, vol. 27, issue 3, 639-661

Abstract: We propose a semiparametric IGARCH model that allows for persistence in variance but also allows for more flexible functional form. We assume that the difference of the squared process is weakly stationary. We propose an estimation strategy based on the nonparametric instrumental variable method. We establish the rate of convergence of our estimator.

Date: 2011
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Working Paper: ESTIMATION OF A SEMIPARAMETRICIGARCH(1,1) MODEL (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:27:y:2011:i:03:p:639-661_00

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