[R-SIG-Finance] Continuous Online GARCH

[stefano iacus]

You should check K.  Klüppelberg webpage or the relevant papers by she and her collaborators.
There you find a mix of the method of moments and quasi-likelihood to calibrate cogarch.
e.g. http://epub.ub.uni-muenchen.de/1827/1/paper_458.pdf

AFAIK, cogarch is not "continuous estimation of garch", is a continuos stochastic process with garch similarities, which you estimate on discrete data. Essentially based on Lévy models. A student of mine is working on some R code, but you find other ready-to-use solution, please spread the word :-)

stefano


On 9 Jul 2011, at 21:39, Noah Silverman wrote:

> Hi,
> 
> In my readings, I've come across some mentions of  COGARCH which is a continuous estimation of GARCH as data streams in online.
> 
> I can't find any R library that does this.  Does anyone know of one.
> 
> Alternately, can someone outline the COGARCH algorithm in pseudo-code so that I can write my own in R or C?
> 
> --
> Noah Silverman
> UCLA Department of Statistics
> 8117 Math Sciences Building
> Los Angeles, CA 90095
> 
> _______________________________________________
> R-SIG-Finance at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions should go.


-----------------------------------
Stefano M. Iacus
Department of Economics,
Business and Statistics
University of Milan
Via Conservatorio, 7
I-20123 Milan - Italy
Ph.: +39 02 50321 461
Fax: +39 02 50321 505
http://www.economia.unimi.it/iacus
------------------------------------------------------------------------------------
Please don't send me Word or PowerPoint attachments if not 
absolutely necessary. See:
http://www.gnu.org/philosophy/no-word-attachments.html