Todd, Prono (2009): Simple, SkewnessBased GMM Estimation of the SemiStrong GARCH(1,1) Model.
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Abstract
IV estimators with an instrument vector composed only of past squared residuals, while applicable to the semistrong ARCH(1) model, do not extend to the semistrong 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:  Simple, SkewnessBased GMM Estimation of the SemiStrong GARCH(1,1) Model 
Language:  English 
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  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes 
Item ID:  33634 
Depositing User:  Todd Prono 
Date Deposited:  22. Sep 2011 15:32 
Last Modified:  31. Dec 2015 16:25 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/33634 
Available Versions of this Item

Simple GMM Estimation of the SemiStrong GARCH(1,1) Model. (deposited 15. Jan 2010 14:10)

Simple GMM Estimation of the SemiStrong GARCH(1,1) Model. (deposited 13. Nov 2010 14:51)

Simple GMM Estimation of the SemiStrong GARCH(1,1) Model. (deposited 20. Dec 2010 03:47)

Simple GMM Estimation of the SemiStrong GARCH(1,1) Model. (deposited 02. Feb 2011 14:30)
 Simple, SkewnessBased GMM Estimation of the SemiStrong GARCH(1,1) Model. (deposited 22. Sep 2011 15:32) [Currently Displayed]

Simple GMM Estimation of the SemiStrong GARCH(1,1) Model. (deposited 02. Feb 2011 14:30)

Simple GMM Estimation of the SemiStrong GARCH(1,1) Model. (deposited 20. Dec 2010 03:47)

Simple GMM Estimation of the SemiStrong GARCH(1,1) Model. (deposited 13. Nov 2010 14:51)