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A note on adaptation in garch models

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  • Gloria Gonzalez-Rivera

Abstract

In the framework of the Engle-type (G)ARCH models, I demonstrate that there is a family of symmetric and asymmetric density functions for which the asymptotic efficiency of the semiparametric estimator is equal to the asymptotic efficiency of the maximum likelihood estimator. This family of densities is bimodal (except for the normal). I also chracterize the solution to the problem of minimizing the mean squared distance between the parametric score and the semiparametric score in order to search for unimodal densities for which the semiparametric estimator is likely to perform well. The LaPlace density function emerges as one of these cases.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

Volume (Year): 16 (1997)
Issue (Month): 1 ()
Pages: 55-68

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Handle: RePEc:taf:emetrv:v:16:y:1997:i:1:p:55-68

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Related research

Keywords: Adaptation; Generalized Autoregressive Conditional Heteroscedasticity (GARCH); maximum likelihood; semiparametric estimator;

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Cited by:
  1. Hafner, C.M. & Rombouts, J.V.K., 2004. "Semiparametric multivariate volatility models," Econometric Institute Research Papers EI 2004-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  2. Drost, F.C. & Werker, B.J.M., 2004. "Semiparametric duration models," Open Access publications from Tilburg University urn:nbn:nl:ui:12-140875, Tilburg University.
  3. HAFNER, Christian & ROMBOUTS, Jeroen, 2003. "Semiparametric multivariate GARCH models," CORE Discussion Papers 2003003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Jushan Bai & Serena Ng, 1998. "A Test for Conditional Symmetry in Time Series Models," Boston College Working Papers in Economics 410, Boston College Department of Economics.
  5. Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper Series 38-07, The Rimini Centre for Economic Analysis, revised Jul 2007.

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