Yang, Hu; Wu, Xingcui - In: Economic Modelling 28 (2011) 3, pp. 761-766
In this paper, we propose a new semiparametric method for GARCH model by combining the EGARCH (1,1) model and local polynomial regression. Based on the idea of two-stage estimate, a link function is estimated by the local polynomial and then the parameters are obtained via the weighted least...