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A time varying GARCH(p,q) model and related statistical inference

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  • Rohan, Neelabh

Abstract

We propose a two-step local polynomial and a weighted bootstrapped estimator for the parameter functions of a time varying GARCH(p,q) model. We also suggest a test statistic for testing the constancy of parameter functions of the model. Asymptotic distributions of the estimators and a test statistic are derived. The validity of the bootstrapped estimator and the test is established with the help of a simulation study.

Suggested Citation

  • Rohan, Neelabh, 2013. "A time varying GARCH(p,q) model and related statistical inference," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 1983-1990.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:9:p:1983-1990
    DOI: 10.1016/j.spl.2013.04.030
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    References listed on IDEAS

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    1. Elena Andreou & Eric Ghysels, 2002. "Detecting multiple breaks in financial market volatility dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 579-600.
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    6. Neelabh Rohan & T. V. Ramanathan, 2013. "Nonparametric estimation of a time-varying GARCH model," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 25(1), pages 33-52, March.
    7. Arup Bose & Kanchan Mukherjee, 2003. "Estimating The Arch Parameters By Solving Linear Equations," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 127-136, March.
    8. Thomas Mikosch & Cătălin Stărică, 2004. "Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 378-390, February.
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    Cited by:

    1. Niklas Ahlgren & Alexander Back & Timo Terasvirta, 2024. "A new GARCH model with a deterministic time-varying intercept," Papers 2410.03239, arXiv.org, revised Oct 2024.
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    3. Karmakar, Sayar & Richter, Stefan & Wu, Wei Biao, 2022. "Simultaneous inference for time-varying models," Journal of Econometrics, Elsevier, vol. 227(2), pages 408-428.
    4. Bardet, Jean-Marc & Doukhan, Paul & Wintenberger, Olivier, 2022. "Contrast estimation of time-varying infinite memory processes," Stochastic Processes and their Applications, Elsevier, vol. 152(C), pages 32-85.
    5. Armin Pourkhanali & Jonathan Keith & Xibin Zhang, 2021. "Conditional Heteroscedasticity Models with Time-Varying Parameters: Estimation and Asymptotics," Monash Econometrics and Business Statistics Working Papers 15/21, Monash University, Department of Econometrics and Business Statistics.

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