A time varying GARCH(p,q) model and related statistical inference

We propose a two-step local polynomial and a weighted bootstrapped estimator for the parameter functions of a time varying GARCH(p,q) model. We also suggest a test statistic for testing the constancy of parameter functions of the model. Asymptotic distributions of the estimators and a test statistic are derived. The validity of the bootstrapped estimator and the test is established with the help of a simulation study.

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Year of publication:	2013
Authors:	Rohan, Neelabh
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 9, p. 1983-1990
Publisher:	Elsevier
Subject:	Local polynomial estimation \| Time varying GARCH \| Volatility modeling \| Weighted bootstrap

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010678742