Iterated Neural Estimator Proposed for Nonparametric GARCH Forecasting

Researchers propose an iterated neural estimator for nonparametric estimation and forecasting of GARCH-type processes, alternating between estimating the conditional variance and the innovation distribution.

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2026-11-04 05:00 · arXiv stat.ML
Nonparametric GARCH: An Iterated Neural Estimator

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