COGARCH models: a statistical application

Name: COGARCH models: a statistical application
Brand: Vita e Pensiero
Availability: OnlineOnly

digital

Article

Magazine

STATISTICA & APPLICAZIONI

Section

Open Access

Title

COGARCH models: a statistical application

Authors

Enrico Bibbona, Ilia Negri

Publisher

Vita e Pensiero

Format

Article |

Pdf

Pages

Online from

10-2018

Doi

10.26350/999999_000008

Issn

1824-6672 (print) | 2283-6659 (digital)

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One of the reason that suggests to use COGARCH models to fit financial log-return data is due to the fact that they are able to capture the so called stylized facts observed in real data: uncorrelated log-returns but correlated absolute log-return, time varying volatility, conditional heteroscedasticity, cluster in volatility, heavy tailed and asymmetric unconditional distributions, leverage effects. The aims of this paper is to fit the COGARCH models to a real financial data set, estimate the parameters of the models via the prediction based estimating functions and to look at the performance of these estimates.