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Discrete‐Time Approximation of a Cogarch(p,q) Model and its Estimation

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  • Stefano M. Iacus
  • Lorenzo Mercuri
  • Edit Rroji

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.

Suggested Citation

  • Stefano M. Iacus & Lorenzo Mercuri & Edit Rroji, 2018. "Discrete‐Time Approximation of a Cogarch(p,q) Model and its Estimation," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(5), pages 787-809, September.
    • Handle: RePEc:bla:jtsera:v:39:y:2018:i:5:p:787-809
    DOI: 10.1111/jtsa.12406
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    Cited by:

    1. Francesco Bianchi & Lorenzo Mercuri & Edit Rroji, 2022. "Portfolio Selection with Irregular Time Grids: an example using an ICA-COGARCH(1, 1) approach," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(1), pages 57-85, March.

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