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Ngai-Hang Chan

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#machine learning Preprint Nov 2026

Nonparametric GARCH: An Iterated Neural Estimator

This work studies nonparametric estimation and forecasting for GARCH-type processes and proposes an iterated neural estimator that alternates between estimating the recursion map and updating the unobserved conditional variances, which is minimax rate-optimal up to logarithmic factors.

Rui-Zhi Deng, Guo-Hao Shen, Ngai-Hang Chan · 0 citations