Method of Moments Estimation for Affine Stochastic Volatility Models

Yan-Feng Wu, Xiangyu Yang and Jian-Qiang Hu

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Abstract: We develop moment estimators for the parameters of affine stochastic volatility models. We first address the challenge of calculating moments for the models by introducing a recursive equation for deriving closed-form expressions for moments of any order. Consequently, we propose our moment estimators. We then establish a central limit theorem for our estimators and derive the explicit formulas for the asymptotic covariance matrix. Finally, we provide numerical results to validate our method.

Date: 2024-08
New Economics Papers: this item is included in nep-ecm and nep-ets
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