Todd, Prono (2009): Simple, Skewness-Based GMM Estimation of 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:||Simple, Skewness-Based GMM Estimation of 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 ; Diffusion Processes
|Depositing User:||Todd Prono|
|Date Deposited:||22. Sep 2011 15:32|
|Last Modified:||16. Feb 2013 03:46|
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Available Versions of this Item
Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model. (deposited 15. Jan 2010 14:10)
Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model. (deposited 13. Nov 2010 14:51)
Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model. (deposited 20. Dec 2010 03:47)
Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model. (deposited 02. Feb 2011 14:30)
- Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model. (deposited 22. Sep 2011 15:32) [Currently Displayed]
- Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model. (deposited 02. Feb 2011 14:30)
- Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model. (deposited 20. Dec 2010 03:47)
- Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model. (deposited 13. Nov 2010 14:51)