A time varying GARCH(p,q) model and related statistical inference

Neelabh Rohan

Statistics & Probability Letters, 2013, vol. 83, issue 9, 1983-1990

Abstract: We propose a two-step local polynomial and a weighted bootstrapped estimator for the parameter functions of a time varying GARCH(p,q) model. We also suggest a test statistic for testing the constancy of parameter functions of the model. Asymptotic distributions of the estimators and a test statistic are derived. The validity of the bootstrapped estimator and the test is established with the help of a simulation study.

Keywords: Local polynomial estimation; Time varying GARCH; Volatility modeling; Weighted bootstrap (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spl.2013.04.030

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