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arXiv · 1511.00253

Discrete time approximation of a COGARCH(p,q) model and its estimation

Stefano M. Iacus·Lorenzo Mercuri·Edit Rroji
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Abstract

In this paper, we construct a sequence of discrete time stochastic processes that converges in probability and in the Skorokhod metric to a COGARCH(p,q) model. The result is useful for the estimation of the continuous model defined for irregularly spaced time series data. The estimation procedure is based on the maximization of a pseudo log-likelihood function and is implemented in the yuima package.

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Stefano M. Iacus, Lorenzo Mercuri, Edit Rroji. 2015-12-06. Discrete time approximation of a COGARCH(p,q) model and its estimation. https://arxiv.org/abs/1511.00253

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