Hi, In my readings, I've come across some mentions of COGARCH which is a continuous estimation of GARCH as data streams in online. I can't find any R library that does this. Does anyone know of one. Alternately, can someone outline the COGARCH algorithm in pseudo-code so that I can write my own in R or C? -- Noah Silverman UCLA Department of Statistics 8117 Math Sciences Building Los Angeles, CA 90095
Continuous Online GARCH
3 messages · Noah Silverman, stefano iacus, Patrick Burns
You should check K. Kl?ppelberg webpage or the relevant papers by she and her collaborators. There you find a mix of the method of moments and quasi-likelihood to calibrate cogarch. e.g. http://epub.ub.uni-muenchen.de/1827/1/paper_458.pdf AFAIK, cogarch is not "continuous estimation of garch", is a continuos stochastic process with garch similarities, which you estimate on discrete data. Essentially based on L?vy models. A student of mine is working on some R code, but you find other ready-to-use solution, please spread the word :-) stefano
On 9 Jul 2011, at 21:39, Noah Silverman wrote:
Hi, In my readings, I've come across some mentions of COGARCH which is a continuous estimation of GARCH as data streams in online. I can't find any R library that does this. Does anyone know of one. Alternately, can someone outline the COGARCH algorithm in pseudo-code so that I can write my own in R or C? -- Noah Silverman UCLA Department of Statistics 8117 Math Sciences Building Los Angeles, CA 90095
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----------------------------------- Stefano M. Iacus Department of Economics, Business and Statistics University of Milan Via Conservatorio, 7 I-20123 Milan - Italy Ph.: +39 02 50321 461 Fax: +39 02 50321 505 http://www.economia.unimi.it/iacus ------------------------------------------------------------------------------------ Please don't send me Word or PowerPoint attachments if not absolutely necessary. See: http://www.gnu.org/philosophy/no-word-attachments.html
I don't know anything about that algorithm. However, intraday garch is (or should be) complicated because there is volatility seasonality throughout the day.
On 09/07/2011 20:39, Noah Silverman wrote:
Hi, In my readings, I've come across some mentions of COGARCH which is a continuous estimation of GARCH as data streams in online. I can't find any R library that does this. Does anyone know of one. Alternately, can someone outline the COGARCH algorithm in pseudo-code so that I can write my own in R or C? -- Noah Silverman UCLA Department of Statistics 8117 Math Sciences Building Los Angeles, CA 90095
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Patrick Burns patrick at burns-stat.com http://www.burns-stat.com http://www.portfolioprobe.com/blog twitter: @portfolioprobe