Efficient nonparametric estimation and inference for the volatility function
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confidence intervalsnonparametric volatility estimationoptimal bandwidth estimationtesting for symmetry
Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Nonparametric tolerance and confidence regions (62G15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Stochastic models in economics (91B70)
Abstract: During the last decades there has been increasing interest in modeling the volatility of financial data. Several parametric models have been proposed to this aim, starting from ARCH, GARCH and their variants, but often it is hard to evaluate which one is the most suitable for the analyzed financial data. In this paper we focus on nonparametric analysis of the volatility function for mixing processes. Our approach encompasses many parametric frameworks and supplies several tools which can be used to give evidence against or in favor of a specific parametric model: nonparametric function estimation, confidence bands and test for symmetry. Another contribution of this paper is to give an alternative representation of the GARCH(1,1) model in terms of a Nonparametric-ARCH(1) model, which avoids the use of the lagged volatility, so that a more precise and more informative News Impact Function can be estimated by our procedure. We prove the consistency of the proposed method and investigate its empirical performance on synthetic and real datasets. Surprisingly, for finite sample size, the simulation results show a better performance of our nonparametric estimator compared with the MLE estimator of a GARCH(1,1) model, even in the case of correct specification of the model.
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Cites work
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- Local polynomial estimators of the volatility function in nonparametric autoregression
- Statistical inference for nonparametric GARCH models
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Cited in
(13)- Local polynomial estimators of the volatility function in nonparametric autoregression
- Bootstrapping nonparametric estimators of the volatility function.
- An algorithm for nonparametric GARCH modelling.
- Daily nonparametric ARCH(1) model estimation using intraday high frequency data
- Nonparametric estimation of volatility function with variable bandwidth parameter
- Local instrumental variable method for the generalized additive-interactive nonlinear volatility model estimation
- Statistical inference for nonparametric GARCH models
- NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR
- Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions
- On nonparametric estimation of a nonparametric autoregressive conditionally heteroscedastic process
- The nonparametric GARCH model estimation using intraday high-frequency data
- Predicting the volatility of bitcoin returns based on kernel regression
- Nonparametric estimation of volatility models with serially dependent innovations
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