We develop a single-index volatility model in this paper. A new method is proposed to estimate the single-index coefficient and the link function. Unlike most existing estimation methods for semiparametric models, root-n consistency of the single-index coefficient can be achieved by our method without under-smoothing the unknown function. A Lagrange-multiplier type test is employed to determine the order of the model. Some simulations and applications to real data are included. Copyright © 2002 Institute of Statistical Science, Academia Sinica.
|Publication status||Published - Jul 2002|
CitationXia, Y., Tong, H., & Li, W. K. (2002). Single-index volatility models and estimation. Statistica Sinica, 12(3), 785-799.
- Conditional variance
- Local linear smoother
- Order determination