On the Log Periodogram Regression Estimator of the Memory Parameter in Long Memory Stochastic Volatility Models
25 Pages Posted: 31 Oct 2008
Date Written: 2000
We consider semiparametric estimation of the memory parameter in a long memorystochastic volatility model. We study the estimator based on a log periodogramregression as originally proposed by Geweke and Porter-Hudak (1983,Journal of Time Series Analysis 4, 221 238). Expressions for the asymptotic biasand variance of the estimator are obtained, and the asymptotic distribution is shownto be the same as that obtained in recent literature for a Gaussian long memoryseries. The theoretical result does not require omission of a block of frequenciesnear the origin. We show that this ability to use the lowest frequencies is particularlydesirable in the context of the long memory stochastic volatility model.
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