Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/31013
Authors: 
Haug, Stephan
Klüppelberg, Claudia
Lindner, A.
Zapp, M.
Year of Publication: 
2005
Series/Report no.: 
Discussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 458
Abstract: 
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.
Subjects: 
continuous time GARCH process
GARCH process
Lévy process
moment estimators
stochastic volatility
volatility estimation
JEL: 
C23
C52
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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