COGARCH ( p , q ) : Simulation and Inference with the yuima Package

In this paper we show how to simulate and estimate a COGARCH(p, q) model in the R package yuima. Several routines for simulation and estimation are introduced. In particular, for the generation of a COGARCH(p, q) trajectory, the user can choose between two alternative schemes. The first is based on...

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Bibliographic Details
Published in:Journal of statistical software 2017-08, Vol.80 (4), p.1-49
Main Authors: Iacus, Stefano M., Mercuri, Lorenzo, Rroji, Edit
Format: Article
Language:English
Subjects:
COGARCH(p
inference
q) processes
YUIMA project
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Summary:In this paper we show how to simulate and estimate a COGARCH(p, q) model in the R package yuima. Several routines for simulation and estimation are introduced. In particular, for the generation of a COGARCH(p, q) trajectory, the user can choose between two alternative schemes. The first is based on the Euler discretization of the stochastic differential equations that identify a COGARCH(p, q) model while the second considers the explicit solution of the equations defining the variance process. Estimation is based on the matching of the empirical with the theoretical autocorrelation function. Three different approaches are implemented: minimization of the mean squared error, minimization of the absolute mean error and the generalized method of moments where the weighting matrix is continuously updated. Numerical examples are given in order to explain methods and classes used in the yuima package.
ISSN:1548-7660
1548-7660
DOI:10.18637/jss.v080.i04