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Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models

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  • Ferraz, Rosemeire O.
  • Hotta, Luiz K.

Abstract

We analyze finite sample properties of the quasi-maximum likelihood estimators of longmemory stochastic volatility models. The estimates are done in the time domain using autoregressive and moving average in the state space representation. The results are compared with usual estimators of the long-memory parameter.

Suggested Citation

  • Ferraz, Rosemeire O. & Hotta, Luiz K., 2007. "Quasi-Maximum Likelihood Estimation of Long-Memory Stochastic Volatility Models," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 27(2), November.
    • Handle: RePEc:sbe:breart:v:27:y:2007:i:2:a:1526
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    References listed on IDEAS

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    1. Deo, Rohit & Hurvich, Clifford & Lu, Yi, 2006. "Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 29-58.
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    3. Arteche, Josu, 2004. "Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models," Journal of Econometrics, Elsevier, vol. 119(1), pages 131-154, March.
    4. Basak, Gopal K & Chan, Ngai Hang & Palma, Wilfredo, 2001. "The Approximation of Long-Memory Processes by an ARMA Model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(6), pages 367-389, September.
    5. Mark J. Jensen, 2004. "Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(6), pages 895-922, November.
    6. Perez, Ana & Ruiz, Esther, 2001. "Finite sample properties of a QML estimator of stochastic volatility models with long memory," Economics Letters, Elsevier, vol. 70(2), pages 157-164, February.
    7. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
    8. Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348.
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