COGARCH models: a statistical application - Enrico Bibbona, Ilia Negri - Vita e Pensiero - Articolo Statistica & Applicazioni

COGARCH models: a statistical application

digital COGARCH models: a statistical application
Article
journal STATISTICA & APPLICAZIONI
issue STATISTICA & APPLICAZIONI - 2017 - 2
title COGARCH models: a statistical application
authors
publisher Vita e Pensiero
format Article | Pdf
online since 10-2018
doi 10.26350/999999_000008
issn 18246672 (print)
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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.

keywords

COGARCH Models; Prediction Based Estimating Function.

Authors biography

ilia.negri@unibg.it; enrico.bibbona@polito.it


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