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Faculty of Economics

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Kim, W. and Linton, O.

Estimation of a semiparametric IGARCH(1,1) model

Econometric Theory

Vol. 27(3) pp. 639-661 (2011)

Abstract: We propose a semiparametric IGARCH model that allows for persistence in variance but also allows for more flexible functional form. We assume that the difference of the squared process is weakly stationary. We propose an estimation strategy based on the nonparametric instrumental variable method. We establish the rate of convergence of our estimator.

JEL Codes: C14

Author links: Oliver Linton  

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