{"entities":{"Q1852883":{"pageid":1863625,"ns":120,"title":"Item:Q1852883","lastrevid":69115926,"modified":"2026-04-13T04:52:36Z","type":"item","id":"Q1852883","labels":{"en":{"language":"en","value":"An algorithm for nonparametric GARCH modelling."}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 1856182"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1852883$77307732-FBBE-47CD-A783-7968E4CFAD3C","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"f02fb7d85c68398317f6a86d3a016695b516d488","datavalue":{"value":{"text":"An algorithm for nonparametric GARCH modelling.","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q1852883$78D0932B-3AD3-4427-B351-DF8BEC000D37","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"b034c7ec7e2c8b57ee94b62c45aa7e9618537b24","datavalue":{"value":"1043.68108","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1852883$BBF8A3A7-9EAC-4EF0-B8DB-06BE814FA014","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"25d09fdddb03e88362c86613ef0fbcd973f7a817","datavalue":{"value":"10.1016/S0167-9473(02)00080-4","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1852883$4DB60FBF-8DB0-411A-AC17-1234BDB283A7","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"cbfb437b6b8ae3dd3b26c8fb4a6b93b7791392c7","datavalue":{"value":{"entity-type":"item","numeric-id":443787,"id":"Q443787"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1852883$EDE1F8A9-C7AC-439B-9F55-13E838B755FF","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"7a21232cdb06815d55d378dd146900bd544d320d","datavalue":{"value":{"entity-type":"item","numeric-id":6482962,"id":"Q6482962"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1852883$34BE2AEF-6103-4E0C-A542-C910C171DB26","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"a3fc06e9fbf322a9f6c41af825f926da65974fb3","datavalue":{"value":{"entity-type":"item","numeric-id":196900,"id":"Q196900"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1852883$BC031A19-842B-4D0F-B4C2-15BC37236062","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"5b5e42af6f5e314fbfeffbcec47ae99c9eed44fd","datavalue":{"value":{"time":"+2003-01-21T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q1852883$C8391354-8B5A-432F-B97A-B0BBFFB5E1AF","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"899ba48959fb193fe6af4cb46588c05857046380","datavalue":{"value":"A simple iterative algorithm for nonparametric first-order GARCH modelling is proposed. This method offers an alternative to fitting one of the many different parametric GARCH specifications that have been proposed in the literature. A theoretical justification for the algorithm is provided and examples of its application to simulated data from various stationary processes showing stochastic volatility, as well as empirical financial return data, are given. The nonparametric procedure is found to often give better estimates of the unobserved latent volatility process than parametric modelling with the standard GARCH(1,1) model, particularly in the presence of asymmetry and other departures from the standard GARCH specification. Extensions of the basic iterative idea to more complex time series models combining ARMA or GARCH features of possibly higher order are suggested.","type":"string"},"datatype":"string"},"type":"statement","id":"Q1852883$CEF5CB10-36B8-4A87-B56C-F9BA782DA11A","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"79b3bc872b6637176b35f9e46ac855febbf884f5","datavalue":{"value":"68W05","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1852883$7F8E82EB-D7E8-4A82-8B91-06F1EF1E68CC","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"0e40b847cfa456e95c1c964a8cd9df72656b7c29","datavalue":{"value":"68U20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1852883$625D1001-57B4-49A9-9C62-DEE7C2E2D02B","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"0f7737f1c257da03de0c33d7764fa322c296d101","datavalue":{"value":"1856182","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1852883$B04F77DF-560E-40E9-AD8D-EF26B1FBE573","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"3d5c422cdf4edd3bfc16e43dde816fed3e4e29ce","datavalue":{"value":"GARCH modelling","type":"string"},"datatype":"string"},"type":"statement","id":"Q1852883$3A41ECE4-0D22-4DCA-8250-BE1A98036BC3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"d869f773c0a8137aa52538558137ca447b3dc939","datavalue":{"value":"Nonparametric methods","type":"string"},"datatype":"string"},"type":"statement","id":"Q1852883$4036D045-22E1-40E0-A423-89D1D6DCC6E1","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"11736da59464c2dcdd963fac1232c8ace1cca4b5","datavalue":{"value":"Volatility estimation","type":"string"},"datatype":"string"},"type":"statement","id":"Q1852883$6343875A-23F0-4A4A-B141-10CFF0D11537","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1852883$8B245059-EBC9-4462-8AB3-A29CDD0C7BB2","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"1dd49b833dd742d611c19e0150bea1fd33444adc","datavalue":{"value":{"entity-type":"item","numeric-id":1821471,"id":"Q1821471"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1852883$0B93DC4C-ACD2-4B3C-9C4B-5C5C40294CB5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"0ae3a55666f8ec92fc2ba0c17ada4482f7d07ef3","datavalue":{"value":{"entity-type":"item","numeric-id":1185104,"id":"Q1185104"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1852883$7297DCDE-7011-4DEB-B8C7-843AA2CC46C1","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9a224e226e0cc5829a98aab8619cd2bb1b69712a","datavalue":{"value":{"entity-type":"item","numeric-id":3953065,"id":"Q3953065"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1852883$E49A5CB8-0326-45A0-B55F-99E68C7E2BA0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"2b400fb72dce3a605be596eebe9749e5a98511c9","datavalue":{"value":{"entity-type":"item","numeric-id":3756387,"id":"Q3756387"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1852883$B5886CC2-5553-43BC-928F-E928F233CE4F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"135a8e608d4dab9899f5191c1a78077a08af2ff8","datavalue":{"value":{"entity-type":"item","numeric-id":4355166,"id":"Q4355166"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1852883$0F2AEAED-1FE3-4721-B3CB-B69BE154AAD5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"4edac63d6d93bf3ee4bc4c3cd804532d9b86e14b","datavalue":{"value":{"entity-type":"item","numeric-id":3998409,"id":"Q3998409"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1852883$FB523060-222F-4AF1-A10B-7E75CB883A15","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"6a0199d588a13278546e9a4214216cb9ff0ddd47","datavalue":{"value":{"entity-type":"item","numeric-id":2707651,"id":"Q2707651"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1852883$BF5AE391-7B1E-481A-A167-76DD514DD820","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"f92497e57547c6e54f7d720b180a460227a97d71","datavalue":{"value":{"entity-type":"item","numeric-id":1848834,"id":"Q1848834"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1852883$A787F129-76E4-451C-B73B-3B44A83DE6C7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"da2986a3e099bbf8f39aa572324ce45ca4d94a8e","datavalue":{"value":{"entity-type":"item","numeric-id":3210032,"id":"Q3210032"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1852883$02318F24-3170-4C7B-A717-2F224B6EA940","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"dade866458d8fb62ddbf49ebfe47d4caeffdd9c4","datavalue":{"value":{"entity-type":"item","numeric-id":1838795,"id":"Q1838795"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1852883$4A7B610C-CA20-4F23-A9A4-2C394092EEA3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"7bdd6560eb5a5ea80da1301a147319e43dfff2d2","datavalue":{"value":{"entity-type":"item","numeric-id":4939819,"id":"Q4939819"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1852883$630BB9F7-B7AE-453A-B4B8-5B81166697A4","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"14d41fa3ac0958c28596ca3272ea5e5efc775be4","datavalue":{"value":"https://doi.org/10.1016/s0167-9473(02)00080-4","type":"string"},"datatype":"url"},"type":"statement","id":"Q1852883$827FE2E3-40DD-47A4-824E-5C6E3868F225","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"8dba350ca90dd32a5be711b06eeb62fd191a856a","datavalue":{"value":"W2005908614","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1852883$B99C7A96-704E-4D07-BDA5-253FE0739523","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"5de5a6aa0440742fa1db9cb78de8c0575534c5c7","datavalue":{"value":{"entity-type":"item","numeric-id":311986,"id":"Q311986"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"14cb52ca6a4a1c714904927bf6806720b6a9a4db","datavalue":{"value":{"amount":"+0.8398483991622925","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1852883$C435E307-E6D6-49C8-8F0F-ECBE534E3B68","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"66f197f72bf97934db88a7a288cd47ce8b78e5a4","datavalue":{"value":{"entity-type":"item","numeric-id":3582671,"id":"Q3582671"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"ec6848d6448c7c9b0281d1340715096a4c4e5fe0","datavalue":{"value":{"amount":"+0.8126140832901001","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1852883$796B7B70-BAF2-4721-934B-E5B7C52CE910","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"cafa5ffa67339c516e962dc7a0fd6743a7b84aa5","datavalue":{"value":{"entity-type":"item","numeric-id":5299865,"id":"Q5299865"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"fb2cd5e20323afb9b5d0f7f54d61069d32026b7e","datavalue":{"value":{"amount":"+0.8094576001167297","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1852883$4226A48E-826C-4BC6-84D5-B674604A7EC9","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"36021bab6bd31ee6aaf9d69faa0b86e36f3167aa","datavalue":{"value":{"entity-type":"item","numeric-id":609736,"id":"Q609736"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"68d024af54f7ce55575b45566aaf40d8785f3ad0","datavalue":{"value":{"amount":"+0.8057605028152466","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1852883$CF66D9C7-D579-479B-9539-DB02FCBE3E0D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"b79dec502805a55bc4ea2199529262f06cf9c403","datavalue":{"value":{"entity-type":"item","numeric-id":5384667,"id":"Q5384667"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"5551301e7facc8abde5e689f2600facc0a1ed858","datavalue":{"value":{"amount":"+0.7946255803108215","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1852883$5ACFDCAA-FCE1-4A90-8945-7B5D6634091B","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"An algorithm for nonparametric GARCH modelling.","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/An_algorithm_for_nonparametric_GARCH_modelling."}}}}}