Bayesian estimation for a semiparametric nonlinear volatility model

Shuowen Hu, Donald Poskitt and Xibin Zhang ()

Economic Modelling, 2021, vol. 98, issue C, 361-370

Abstract: This paper presents a new volatility model which extends the nonstationary nonparametric volatility model of Han and Zhang (2012) by including an ARCH(1) component. This model also allows the errors to be independent and follow an unknown distribution. A Bayesian sampling algorithm is presented to estimate the ARCH coefficient and smoothing parameters. Empirical results show that the proposed model outperforms its competitors under several evaluation criteria.

Keywords: Backtesting; Cross-validation; Nadaraya-Watson estimator; Unknown error distribution; Value-at-risk (search for similar items in EconPapers)
JEL-codes: C14 C58 G17 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:98:y:2021:i:c:p:361-370

DOI: 10.1016/j.econmod.2020.11.005

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