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

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

In this paper, the intraday high-frequency data are used to estimate the volatility function of daily nonparametric ARCH(1) model. A nonparametric volatility proxy model is proposed to achieve this objective. Under regular assumptions, the asymptotic distribution of the proposed estimator is establi...

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Bibliographic Details
Main Authors: Xin Liang, Xingfa Zhang, Yuan Li, Chunliang Deng
Format: Article
Language:English
Published: AIMS Press 2021-01-01
Series:AIMS Mathematics
Subjects:
volatility function
volatility proxy
local polynomial estimation
Online Access:http://www.aimspress.com/article/doi/10.3934/math.2021206?viewType=HTML

Internet

http://www.aimspress.com/article/doi/10.3934/math.2021206?viewType=HTML

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