Data cloning estimation of GARCH and COGARCH models Articles uri icon

publication date

  • June 2015

start page

  • 1818

end page

  • 1831

issue

  • 9

volume

  • 85

international standard serial number (ISSN)

  • 0094-9655

electronic international standard serial number (EISSN)

  • 1563-5163

abstract

  • GARCH models include most of the stylized facts of financial time series and they have been largely used to analyse discrete financial time series. In the last years, continuous-time models based on discrete GARCH models have been also proposed to deal with non-equally spaced observations, as COGARCH model based on Levy processes. In this paper, we propose to use the data cloning methodology in order to obtain estimators of GARCH and COGARCH model parameters. Data cloning methodology uses a Bayesian approach to obtain approximate maximum likelihood estimators avoiding numerically maximization of the pseudo-likelihood function. After a simulation study for both GARCH and COGARCH models using data cloning, we apply this technique to model the behaviour of some NASDAQ time series.

keywords

  • continuous-time; stationarity