A wavelet Whittle estimator of generalized long-memory stochastic volatility |
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Authors: | Alex Gonzaga Michael Hauser |
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Institution: | 1.Department of Physical Sciences and Mathematics,University of the Philippines,Manila,Philippines;2.Department of Statistics and Mathematics,Wirschaftsuniversitat Wien,Vienna,Austria |
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Abstract: | We consider a k-GARMA generalization of the long-memory stochastic volatility model, discuss the properties of the model and propose a wavelet-based
Whittle estimator for its parameters. Its consistency is shown. Monte Carlo experiments show that the small sample properties
are essentially indistinguishable from those of the Whittle estimator, but are favorable with respect to a wavelet-based approximate
maximum likelihood estimator. An application is given for the Microsoft Corporation stock, modeling the intraday seasonal
patterns of its realized volatility. |
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Keywords: | |
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