Asymmetric COGARCH processes

DOI10.1239/JAP/1417528473MaRDI QIDQ5245621zbMATH OpenOpenAlexFDO

Authors Anita Behme, Claudia Klüppelberg, Kathrin Mayr

Publication date 14 April 2015

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.7068, https://projecteuclid.org/euclid.jap/1417528473

zbMATH Keywords

asymmetric COGARCH processesfirst-jump approximationhigh-frequency datamaximum-likelihood estimationmethod of momentsstochastic volatility

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Processes with independent increments; Lévy processes (60G51) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Abstract: Financial data are as a rule asymmetric, although most econometric models are symmetric. This applies also to continuous-time models for high-frequency and irregularly spaced data. We discuss some asymmetric versions of the continuous-time GARCH model, concentrating then on the GJR-COGARCH. We calculate higher order moments and extend the first jump approximation. These results are prerequisites for moment estimation and pseudo maximum likelihood estimation of the GJR-COGARCH parameters, respectively, which we derive in detail.

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Cited in

(6)

• The asymmetric avalanche process
• Higher moments and prediction-based estimation for the COGARCH(1,1) model
• The Anti-Symmetric GUE Minor Process
• Geometric ergodicity of the multivariate COGARCH(1,1) process
• Contemporaneous asymmetry in GARCH processes
• Exploring novel approaches for estimating fractional stochastic processes through practical applications

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