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Abstract for:

A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models

Woocheol Kim,  Oliver Linton,  May 2003
Paper No' EM/2003/456: Full paper (pdf)
Tags: arch; kernel estimation; nonparametric; volatility.


We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has considerable computational advantages over the competing marginal integration or projection method.