Haug, Stephan and Klüppelberg, Claudia and Lindner, A. and Zapp, M.
Estimating the COGARCH(1,1) model - a first go.
Collaborative Research Center 386, Discussion Paper 458
We suggest moment estimators for the parameters of a continuous time GARCH(1,1) process based on equally spaced observations. Using the fact that the increments of the COGARCH(1,1) process are ergodic, the resulting estimators are consistent. We investigate the quality of our estimators in a simulation study based on the compound Poisson driven COGARCH model. The estimated volatility with corresponding residual analysis is also presented.