Estimation of a semiparametric IGARCH(1,1) model

Woocheol Kim, Oliver Linton

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

We propose a semiparametric IGARCH model that allows for persistence in variance but also allows for more flexible functional form. We assume that the difference of the squared process is weakly stationary. We propose an estimation strategy based on the nonparametric instrumental variable method. We establish the rate of convergence of our estimator.

Original languageEnglish
Pages (from-to)639-661
Number of pages23
JournalEconometric Theory
Volume27
Issue number3
DOIs
StatePublished - Jun 2011

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