| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5055609 | Economic Modelling | 2011 | 6 Pages |
Abstract
In this paper, we propose a new semiparametric method for GARCH model by combining the EGARCH (1,1) model and local polynomial regression. Based on the idea of two-stage estimate, a link function is estimated by the local polynomial and then the parameters are obtained via the weighted least square method. Finally we apply this method to the Shanghai Composite Index in the China stock market and compared the results with these of EGARCH.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Hu Yang, Xingcui Wu,