Estimating the COGARCH(1,1) model - a flrst go

msra（2005）

引用 24|浏览2

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摘要

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 ergodic, the resulting estimators are consistent. We investigate the quality of our estimators in a simulation study based on the compound Poisson driven COGARCH model. The estimated volatility with corresponding residual analysis is also presented.

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关键词

stochastic volatility,levy process,moment estimators,garch process,continuous time garch process,volatility estimation

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