Discrete‐Time Approximation of a Cogarch(p,q) Model and its Estimation |
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| Authors: | Stefano M. Iacus Lorenzo Mercuri Edit Rroji |
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| Affiliation: | 1. Department of Economics, Management and Quantitative Methods University of Milan, CREST Japan Science and Technology Agency Tokyo, Japan;2. Department of Statistics and Quantitative Methods University of Milano‐Bicocca Milan, Italy |
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| Abstract: | In this article, we construct a sequence of discrete‐time stochastic processes that converges in the Skorokhod metric to a COGARCH(p,q) model. The result is useful for the estimation of the COGARCH(p,q) on irregularly spaced time series data. The proposed estimation procedure is based on the maximization of a pseudo log‐likelihood function and is implemented in the yuima package. |
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| Keywords: | COGARCH(p,q) process Skorokhod distance pseudo log‐likelihood estimation |
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