Todd, Prono (2009): Using skewness to estimate the semi-strong GARCH(1,1) model.
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IV estimators with an instrument vector composed only of past squared residuals, while applicable to the semi-strong ARCH(1) model, do not extend to the semi-strong GARCH(1,1) case because of underidentification. Augmenting the instrument vector with past residuals, however, renders traditional IV estimation feasible, if the residuals are skewed. The proposed estimators are much simpler to implement than efficient IV estimators, yet they retain improved finite sample performance over QMLE. Jackknife versions of these estimators deal with the issues caused by many (potentially weak) instruments. A Monte Carlo study is included, as is an empirical application involving foreign currency spot returns.
|Item Type:||MPRA Paper|
|Original Title:||Using skewness to estimate the semi-strong GARCH(1,1) model|
|Keywords:||GARCH; GMM; instrumental variables; continuous updating; many moments; robust estimation|
|Subjects:||C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods; Simulation Methods
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
|Depositing User:||Todd Prono|
|Date Deposited:||19. May 2011 20:44|
|Last Modified:||15. Feb 2013 19:38|
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Available Versions of this Item
Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model. (deposited 01. Aug 2011 17:13)
- Using skewness to estimate the semi-strong GARCH(1,1) model. (deposited 19. May 2011 20:44) [Currently Displayed]