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Method of Moments Estimation for Affine Stochastic Volatility Models

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  • Yan-Feng Wu
  • Xiangyu Yang
  • Jian-Qiang Hu

Abstract

We develop moment estimators for the parameters of affine stochastic volatility models. We first address the challenge of calculating moments for the models by introducing a recursive equation for deriving closed-form expressions for moments of any order. Consequently, we propose our moment estimators. We then establish a central limit theorem for our estimators and derive the explicit formulas for the asymptotic covariance matrix. Finally, we provide numerical results to validate our method.

Suggested Citation

  • Yan-Feng Wu & Xiangyu Yang & Jian-Qiang Hu, 2024. "Method of Moments Estimation for Affine Stochastic Volatility Models," Papers 2408.09185, arXiv.org.
    • Handle: RePEc:arx:papers:2408.09185
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