Indirect Estimation of Long Memory Volatility Models

Nigel Wilkins

No 459, Econometric Society 2004 Far Eastern Meetings from Econometric Society

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

Keywords: Fractional Integration; Persistence; Simulation (search for similar items in EconPapers)
JEL-codes: C13 C15 (search for similar items in EconPapers)
Date: 2004-08-11
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fin
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:feam04:459

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