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The logGARCH stochastic volatility model

Author

Listed:
  • Guerbyenne, Hafida
  • Hamdi, Fayçal
  • Hamrat, Malika

Abstract

This article introduces a new class of stochastic volatility models called logGARCH Stochastic Volatility models (logGARCH-SV). We establish the strict stationarity and second-order stationarity properties of this model class. Additionally, we provide conditions for the existence of higher-order moments. To estimate the parameters of the proposed model, we utilize a sequential Monte Carlo method. Finally, we assess the performance of the suggested estimation method through a simulation study.

Suggested Citation

  • Guerbyenne, Hafida & Hamdi, Fayçal & Hamrat, Malika, 2024. "The logGARCH stochastic volatility model," Statistics & Probability Letters, Elsevier, vol. 214(C).
    • Handle: RePEc:eee:stapro:v:214:y:2024:i:c:s0167715224001548
    DOI: 10.1016/j.spl.2024.110185
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    References listed on IDEAS

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