In this article, we construct a sequence of discrete-time stochastic processes that converges in the Skorokhod metric to a COGARCH(p,q) model. The result is useful for the estimation of the COGARCH(p,q) on irregularly spaced time series data. The proposed estimation procedure is based on the maximization of a pseudo log-likelihood function and is implemented in the yuima package.
Iacus, S., Mercuri, L., Rroji, E. (2018). Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation. JOURNAL OF TIME SERIES ANALYSIS, 39(5), 787-809 [10.1111/jtsa.12406].
Discrete-Time Approximation of a Cogarch(p,q) Model and its Estimation
Rroji, Edit
2018
Abstract
In this article, we construct a sequence of discrete-time stochastic processes that converges in the Skorokhod metric to a COGARCH(p,q) model. The result is useful for the estimation of the COGARCH(p,q) on irregularly spaced time series data. The proposed estimation procedure is based on the maximization of a pseudo log-likelihood function and is implemented in the yuima package.
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