Certain Semi-L\'evy Driven CARMA Processes: Estimation and Forecasting
Abstract
Continuous-time autoregressive moving average (CARMA) process driven by simple semi-L\'evy process has periodically correlated property with many potential application in finance. In this paper, we study on the estimation of the parameters of the simple semi-L\'evy CARMA (SSLCARMA) process based on the Kalman recursion technique. We implement this method in conjunction with the state-space representation of the associated process. The accuracy of estimation procedure is assessed in a simulated study. We fit a SSLCARMA(2,1) process to intraday realized volatility of Dow Jones Industrial Average data. Finally, We show that this process provides better in-sample forecasts of these data than the L\'evy driven CARMA process after de-seasonalized them.
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Cite
@article{arxiv.1912.10083,
title = {Certain Semi-L\'evy Driven CARMA Processes: Estimation and Forecasting},
author = {N. Modarresi and S. Rezakhah and M. Mohammadi},
journal= {arXiv preprint arXiv:1912.10083},
year = {2019}
}
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16 pages