Higher Moments and Prediction-Based Estimation for the COGARCH(1,1) Model

Enrico Bibbona and Ilia Negri

Scandinavian Journal of Statistics, 2015, vol. 42, issue 4, 891-910

Abstract: type="main" xml:id="sjos12142-abs-0001"> COGARCH models are continuous time versions of the well-known GARCH models of financial returns. The first aim of this paper is to show how the method of prediction-based estimating functions can be applied to draw statistical inference from observations of a COGARCH(1,1) model if the higher-order structure of the process is clarified. A second aim of the paper is to provide recursive expressions for the joint moments of any fixed order of the process. Asymptotic results are given, and a simulation study shows that the method of prediction-based estimating function outperforms the other available estimation methods.

Date: 2015
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