Estimation of a Semiparametric IGARCH(1,1) Model

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

Year of publication:	2010
Authors:	Kim, Woocheol
Other Persons:	Linton, Oliver (contributor)
Publisher:	[2010]: [S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Nichtparametrisches Verfahren \| Nonparametric statistics

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