Discrete Time Approximation of a COGARCH(p,q) Model and its Estimation (Preliminary Version)
11 Pages Posted: 3 Nov 2015
Date Written: November 1, 2015
In this paper, we construct a sequence of discrete time stochastic processes that converges in probability and in the Skorokhod metric to a COGARCH(p,q) model. The result is useful for the estimation of the continuous model defined for irregularly spaced time series data. The estimation procedure is based on the maximization of a pseudo log-likelihood function and is implemented in the yuima package.
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