ESTIMATION OF A SEMIPARAMETRIC IGARCH(1,1) MODEL
提出一个半参数IGARCH模型，允许方差具有持久性且函数形式更灵活，基于非参数工具变量法给出估计量并证明其收敛速度，适合研究波动率持久性的学者。
We propose a semiparametric IGARCH model that allows for persistence in variance but also allows for more flexible functional form. We assume that the difference of the squared process is weakly stationary. We propose an estimation strategy based on the nonparametric instrumental variable method. We establish the rate of convergence of our estimator.