Nonparametric estimation of a time-varying GARCH model

DOI10.1080/10485252.2012.728600zbMath1297.62195OpenAlexW1996341054MaRDI QIDQ5299865

T. V. Ramanathan, Neelabh Rohan

Publication date: 24 June 2013

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2012.728600

zbMATH Keywords

local polynomial estimationvolatility modellingtime-varying GARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

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• Bootstrapping a weighted linear estimator �of the ARCH parameters
• ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
• Varying Coefficient GARCH Models
• Bandwidth selection through cross-validation for semi-parametric varying-coefficient partially linear models
• BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS

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