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Nonparametric Estimation Of Time Series Volatility Model Estimation, Teng Tu
Nonparametric Estimation Of Time Series Volatility Model Estimation, Teng Tu
Arts & Sciences Electronic Theses and Dissertations
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.