The logGARCH stochastic volatility model

Hafida Guerbyenne, Fayçal Hamdi and Malika Hamrat

Statistics & Probability Letters, 2024, vol. 214, issue C

Abstract: This article introduces a new class of stochastic volatility models called logGARCH Stochastic Volatility models (logGARCH-SV). We establish the strict stationarity and second-order stationarity properties of this model class. Additionally, we provide conditions for the existence of higher-order moments. To estimate the parameters of the proposed model, we utilize a sequential Monte Carlo method. Finally, we assess the performance of the suggested estimation method through a simulation study.

Keywords: LogGARCH model; Stochastic volatility model; Stationarity; Higher order moments; Particle filtering; EM algorithm (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715224001548
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:214:y:2024:i:c:s0167715224001548

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2024.110185

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().