Let's get LADE: robust estimation of semiparametric multiplicative volatility models
We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on robust estimation of both long-run and short-run volatilities. Our estimation is semiparamentric since the long-run volatility is totally unspecified whereas the short-run conditional volatility is a parametric semi-strong GARCH (1,1) process. We propose different robust estimation methods for nonstationary and strictly stationary GARCH parameters with non-parametric long-run volatility function. Our estimation is based on a two-step LAD procedure. We establish the relevant asymptotic theory of the proposed estimators. Numerical results lend support to our theoretical results.
|Date of creation:||19 Mar 2013|
|Contact details of provider:|| Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE|
Phone: (+44) 020 7291 4800
Fax: (+44) 020 7323 4780
Web page: http://cemmap.ifs.org.uk
More information through EDIRC
|Order Information:|| Postal: The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- VAN BELLEGEM, Sébastien, 2011. "Locally stationary volatility modelling," CORE Discussion Papers 2011041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Da Huang & Hansheng Wang & Qiwei Yao, 2008. "Estimating GARCH models: when to use what?," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 27-38, March.
When requesting a correction, please mention this item's handle: RePEc:ifs:cemmap:11/13. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Emma Hyman)
If references are entirely missing, you can add them using this form.