Modeling Conditional Heteroscedasticity in Nonstationary Series

CentER Discussion Paper Series No. 2010-84

31 Pages Posted: 21 Aug 2010 Last revised: 11 Sep 2010

See all articles by Pavel Cizek

Pavel Cizek

Tilburg University - Department of Econometrics & Operations Research

Date Written: August 4, 2010

Abstract

To accommodate the inhomogenous character of financial time series over longer time periods, standard parametric models can be extended by allowing their coefficients to vary over time. Focusing on conditional heteroscedasticity models, we discuss various strategies to identify and estimate varying-coefficients models and compare all methods by means of a real-data application.

Keywords: Adaptive Estimation, Conditional Heteroscedasticity, Varying-Coefficient Models, Time Series

JEL Classification: C14, C22, C53

Suggested Citation

Cizek, Pavel, Modeling Conditional Heteroscedasticity in Nonstationary Series (August 4, 2010). CentER Discussion Paper Series No. 2010-84, Available at SSRN: https://ssrn.com/abstract=1662502 or http://dx.doi.org/10.2139/ssrn.1662502

Pavel Cizek (Contact Author)

Tilburg University - Department of Econometrics & Operations Research ( email )

Tilburg, 5000 LE
Netherlands