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Estimation Of A Semiparametricigarch(1,1) Model

Author

Listed:
  • Woocheol Kim
  • Oliver Linton
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.

Suggested Citation

  • Woocheol Kim & Oliver Linton, 2009. "Estimation Of A Semiparametricigarch(1,1) Model," STICERD - Econometrics Paper Series 539, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    • Handle: RePEc:cep:stiecm:539
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    File URL: https://sticerd.lse.ac.uk/dps/em/em539.pdf
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    Cited by:

    1. Till Strohsal & Enzo Weber, 2014. "Mean-variance cointegration and the expectations hypothesis," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1983-1997, November.

    More about this item

    Keywords

    Inverse Problem; Instrumental Variable; IGARCH; Kernel Estimation; Nonparametric regression;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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