Nonparametric GARCH: An Iterated Neural Estimator
arXiv:2611.04157v1 Announce Type: new Abstract: We study nonparametric estimation and forecasting for GARCH-type processes and propose an iterated neural estimator that alternates between estimating the recursion map and updating the unobserved conditional variances. Under mild conditions, we estab…
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- 2026-11-04 05:00 · arXiv stat.ML
Nonparametric GARCH: An Iterated Neural Estimator