Maximum Quasi-Likelihood Estimation in Fractional Levy Stochastic Volatility Model

Jaya P. N. Bishwal
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Jaya P. N. Bishwal: University of North Carolina at Charlotte, Department of Mathematics and Statistics

Chapter Chapter 8 in Parameter Estimation in Stochastic Volatility Models, 2022, pp 351-358 from Springer

Abstract: Abstract Usually asset price process has jumps and volatility process has long memory. We study maximum quasi-likelihood estimators for the parameters of a fractionally integrated exponential GARCH, in short FIECOGARCH process based on discrete observations. We deal with a compound Poisson FIECOGARCH process and study the asymptotic behavior of the maximum quasi-likelihood estimator. We show that the resulting estimators are consistent and asymptotically normal.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-03861-7_8

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DOI: 10.1007/978-3-031-03861-7_8

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