Daily nonparametric ARCH(1) model estimation using intraday high frequency data

DOI10.3934/math.2021206OpenAlexW3121974519MaRDI QIDQ2144835

Xin Liang, Chunliang Deng, XingFa Zhang, Yu'an Li

Publication date: 17 June 2022

Published in: AIMS Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/math.2021206

zbMATH Keywords

local polynomial estimationvolatility functionvolatility proxy

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Cites Work

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• Generalized autoregressive conditional heteroscedasticity
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• A coupled component DCS-EGARCH model for intraday and overnight volatility
• Robust \(M\)-estimate of GJR model with high frequency data
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• Efficient nonparametric estimation and inference for the volatility function

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