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A Note on Adaptation in Garch Models

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  • Gonzalez-Rivera, G.

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

Paper provided by The A. Gary Anderson Graduate School of Management. University of California Riverside in its series The A. Gary Anderson Graduate School of Management with number 95-1.

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Length: 15 pages
Date of creation: 1995
Date of revision:
Handle: RePEc:fth:caland:95-1

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Postal: The A. Gary Anderson Graduate School of Management. University of California, Riverside. Riverside CA 92521
Web page: http://www.agsm.ucr.edu/
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Related research

Keywords: REGRESSION ANALYSIS; MAXIMUM LIKELIHOOD;

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Cited by:
  1. 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.
  2. Rombouts, Jeroen V. K. & Hafner, Christian M., 2004. "Semiparametric multivariate volatility models," Papers 2004,14, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
  3. 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.
  4. HAFNER, Christian & ROMBOUTS, Jeroen, 2003. "Semiparametric multivariate GARCH models," CORE Discussion Papers 2003003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. Drost, F.C. & Werker, B.J.M., 2001. "Semiparametric Duration Models," Discussion Paper 2001-11, Tilburg University, Center for Economic Research.

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