Summary
Estimation of mean and volatility functions for nonlinear time series models of the ARCH type is discussed. The mean function is estimated with local linear autoregression. The volatility function is estimated with a kernel estimator based on the squared residuals of the mean function. Asymptotic bias and variance of these estimators are investigated. The proposals are applied to daily exchange rates of DEM/USD.
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Feng, Y., Heiler, S. (1998). Locally Weighted Autoregression. In: Galata, R., Küchenhoff, H. (eds) Econometrics in Theory and Practice. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-47027-1_10
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DOI: https://doi.org/10.1007/978-3-642-47027-1_10
Publisher Name: Physica-Verlag HD
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