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Indirect Estimation of Long Memory Volatility Models

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  • Nigel Wilkins

Abstract

An indirect estimator is proposed for two long memory volatility models; the fractionally integrated generalised autoregressive conditional heteroskedasticity (FIGARCH) model and the long memory stochastic volatility (LMSV) model. The small sample properties of the indirect estimator are compared to the small sample properties of conventional maximum likelihood estimators. It is found that the indirect estimator has the potential to perform favourably with respect to maximum likelihood for higher order parameterised FIGARCH and LMSV models

Suggested Citation

  • Nigel Wilkins, 2004. "Indirect Estimation of Long Memory Volatility Models," Econometric Society 2004 Far Eastern Meetings 459, Econometric Society.
    • Handle: RePEc:ecm:feam04:459
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    References listed on IDEAS

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    More about this item

    Keywords

    Fractional Integration; Persistence; Simulation;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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