Method of Moment Estimation in The COGARCH (1,1) Model  

Oleh:

Haug, S. ; Kluppelberg, C. ; Lindner, A. ; Zapp, M. ; Kluppelberg, Claudia

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 10 no. 2 (2007), page 320–341.
Topik: estimation; continuous time GARCH process; GARCH process; lévy process; moment estimator; stochastic volatility; volatility estimation
Fulltext: 320.pdf (1.4MB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We suggest moment estimators for the parameters of a continuous time GARCH(1,1) process based on equally spaced observations. Using the fact that the increments of the COGARCH (1,1) process are strongly mixing with exponential rate, we show that the resulting estimators are consistent and asymptotically normal. We investigate the empirical quality of our estimators in a simulation study based on the variance gamma driven COGARCH (1,1) model. The estimated volatility with corresponding residual analysis is also presented. Finally, we fit the model to high - frequency data.

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