MMestimation: Parameter estimation by Method of Moments (MM)

In COGARCH: Simulation and inferenc for COGARCH(1,1) processes

Description

Parameter estimation by Method of Moments (MM) as described in the reference below

Usage

MMestimation(samp, d = sqrt(length(samp)), explicit = TRUE)

Arguments

samp	is a vector of equispaced log returns (according to the model the are increments of the G process)
d	an integer that defines how many observations in the past are used
explicit	logical (default is TRUE), if false minimization is performed numerically

Value

The value is a list with two entries, theta that is a COGprm object containing the estimated parameters and aux that contains auxiliary informations

Author(s)

Cogarch Team

References

Haug, S., Kl\"uppelberg, C., Lindner, A., and Zapp, M. (2007). Method of moment estimation in the COGARCH(1,1) model. Econom. J., 10(2):320–341.

Examples

library(COGARCH)
test.COGprm.object<-COGprm(eta=0.053, beta=0.04, phi=0.038)
test.VG.object<-varGamma(c=1)
set.seed(123)
traj<-rCOGARCH(test.COGprm.object, test.VG.object,1:10000, nsim=2, dt=0.01)
test.trajectory<-diff(traj@G[,1])
MMestimation(test.trajectory, d=70, explicit = TRUE)

COGARCH documentation built on May 2, 2019, 5:28 p.m.