Modeling Conditional Heteroscedasticity in Nonstationary Series
CentER Discussion Paper Series No. 2010-84
31 Pages Posted: 21 Aug 2010 Last revised: 11 Sep 2010
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: Suggested Citation
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