Semiparametric AR(p)-ARCH(1) Models

  • Kenichi Shimizu


So far we have analysed parametric ARCH and GARCH models. In this chapter the results are extended to semiparametric models, in which the ARCH part is nonparametric. In the first section we introduce the semiparametric AR (p)-ARCH (1) model and show the asymptotic properties of the estimators. Then, as in preceding chapters, possible applications of the residual and the wild bootstrap are proposed and their weak consistency proved. The theoretical results are confirmed by simulations in the last section


Asymptotic Property GARCH Model Bootstrap Technique Weak Consistency Satisfying Assumption 
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© Vieweg+Teubner | GWV Fachverlage GmbH 2010

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  • Kenichi Shimizu

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