Asymptotically Optimal Smoothing with ARCH Models /
Nelson, Daniel B.
Asymptotically Optimal Smoothing with ARCH Models / Daniel B. Nelson. - Cambridge, Mass. National Bureau of Economic Research 1994. - 1 online resource: illustrations (black and white); - NBER technical working paper series no. t0161 . - Technical Working Paper Series (National Bureau of Economic Research) no. t0161. .
August 1994.
Suppose an observed time series is generated by a stochastic volatility model-i.e., there is an unobservable state variable controlling the volatility of the innovations in the series. As shown by Nelson (1992), and Nelson and Foster (1994), a misspecified ARCH model will often be able to consistently (as a continuous time limit is approached) estimate the unobserved volatility process, using information in the lagged residuals. This paper shows how to more efficiently estimate such a volatility process using information in both lagged and led residuals. In particular, this paper expands the optimal filtering results of Nelson and Foster (1994) and Nelson (1994) to smoothing.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.
Asymptotically Optimal Smoothing with ARCH Models / Daniel B. Nelson. - Cambridge, Mass. National Bureau of Economic Research 1994. - 1 online resource: illustrations (black and white); - NBER technical working paper series no. t0161 . - Technical Working Paper Series (National Bureau of Economic Research) no. t0161. .
August 1994.
Suppose an observed time series is generated by a stochastic volatility model-i.e., there is an unobservable state variable controlling the volatility of the innovations in the series. As shown by Nelson (1992), and Nelson and Foster (1994), a misspecified ARCH model will often be able to consistently (as a continuous time limit is approached) estimate the unobserved volatility process, using information in the lagged residuals. This paper shows how to more efficiently estimate such a volatility process using information in both lagged and led residuals. In particular, this paper expands the optimal filtering results of Nelson and Foster (1994) and Nelson (1994) to smoothing.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.