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On the estimation in continuous limit of GARCH processes

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Giuseppina Albano

    (University of Salerno, Dept. of Economics and Statistics)

  • Francesco Giordano

    (University of Salerno, Dept. of Economics and Statistics)

  • Cira Perna

    (University of Salerno, Dept. of Economics and Statistics)

Abstract

This paper focuses on the estimation of parameters in stochastic volatility models which can be considered as continuous time approximation of GARCH(1,1) processes. In particular the properties of the involved estimators are discussed under suitable assumptions on the parameters of the model. Moreover, in order to estimate the variance of the involved statistics a bootstrap technique is proposed. Simulations on the model are also performed under different choices of the frequency data.

Suggested Citation

  • Giuseppina Albano & Francesco Giordano & Cira Perna, 2012. "On the estimation in continuous limit of GARCH processes," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 1-9, Springer.
    • Handle: RePEc:spr:sprchp:978-88-470-2342-0_1
    DOI: 10.1007/978-88-470-2342-0_1
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