ESTIMATION OF A SEMIPARAMETRICIGARCH(1,1) MODEL

Woocheol Kim and Oliver Linton

STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE

Abstract: We propose a semiparametric IGARCH model that allows for persistence invariance but also allows for more flexible functional form. We assume that thedifference of the squared process is weakly stationary. We propose an estimationstrategy based on the nonparametric instrumental variable method. We establishthe rate of convergence of our estimator.

Keywords: Inverse Problem; Instrumental Variable; IGARCH; Kernel Estimation; Nonparametric regression (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Date: 2009-10
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://sticerd.lse.ac.uk/dps/em/em539.pdf (application/pdf)

Related works:
Journal Article: ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL (2011)
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:cep:stiecm:539

Access Statistics for this paper

More papers in STICERD - Econometrics Paper Series from Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
Bibliographic data for series maintained by ().