A note on adaptation in garch models
AbstractIn 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 InfoArticle provided by Taylor & Francis Journals in its journal Econometric Reviews.
Volume (Year): 16 (1997)
Issue (Month): 1 ()
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Other versions of this item:
- Gonzalez-Rivera, G., 1995. "A Note on Adaptation in Garch Models," The A. Gary Anderson Graduate School of Management 95-1, The A. Gary Anderson Graduate School of Management. University of California Riverside.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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