TY  - BOOK
AU  - Nelson,Daniel B.
ED  - National Bureau of Economic Research.
TI  - Asymptotically Optimal Smoothing with ARCH Models
T2  - NBER technical working paper series
PY  - 1994///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - August 1994; Hardcopy version available to institutional subscribers
N2  - 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
UR  - https://www.nber.org/papers/t0161
UR  - http://dx.doi.org/10.3386/t0161
ER  -