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Estimation and Simulation of a COGARCH(p,q) model in the YUIMA project by Iacus, Stefano M.; Mercuri, Lorenzo; Rroji, Edit is a scholarly article available to read on EtoBox.

What is Estimation and Simulation of a COGARCH(p,q) model in the YUIMA project about?

In this paper we show how to simulate and estimate a COGARCH(p,q) model in the R package yuima. Several routines for simulation and estimation are available. Indeed for the generation of a COGARCH(p,q) trajectory, the user can choose between two alternative schemes. The first is based on the Euler discretization of the stochastic differential equations that identifies a COGARCH(p,q) model while the second one considers the explicit solution of the variance process. Estimation is based on the matching of the empirical with the theoretical autocorrelation function. In this case three different approaches are implemented: minimization of the mean square error, minimization of the absolute mean error and the generalized method of moments where the weighting matrix is continuously updated. Numerical examples are given in order to explain methods and classes used in the yuima package.

Author

Iacus, Stefano M.; Mercuri, Lorenzo; Rroji, Edit

Published

2015

Language

EN