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Abstract:

Econometrics Paper
ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL
Woocheol Kim and Oliver Linton
October 2009
Paper No' EM/2009/539:
Full Paper (pdf)

JEL Classification: C14


Tags: inverse problem; instrumental variable; igarch; kernel estimation; nonparametric regression

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.