Nonparametric Estimation of Time Series Volatility Model Estimation

Author

Teng Tu, Washington University in St. LouisFollow

Abstract

In this article we consider two estimation methods of a non-parametric volatility model with autoregressive error of order two. The first estimation method based on the two- lag difference. To get a better result, we consider the second approach based on the general quadratic forms. For illustration, we provided several data sets from different simulation models to support the procedures of both two methods, and prove that the second approach can make a better estimation.

Committee Chair

José E. Figueroa-López

Committee Members

Jimin Ding Nan Lin

Comments

Permanent URL: https://doi.org/10.7936/K7C828RB

Degree

Master of Arts (AM/MA)

Author's Department

Mathematics

Author's School

Graduate School of Arts and Sciences

Document Type

Thesis

Date of Award

Spring 5-2018

Language

English (en)

DOI

https://doi.org/10.7936/K7C828RB

Recommended Citation

Tu, Teng, "Nonparametric Estimation of Time Series Volatility Model Estimation" (2018). Arts & Sciences Theses and Dissertations. 1496.

The definitive version is available at https://doi.org/10.7936/K7C828RB