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.
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 |
Saved in:
Online Resource
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