Method of Moments Estimation for Affine Stochastic Volatility Models
Statistical Finance
2024-08-20 v1 Econometrics
Abstract
We develop moment estimators for the parameters of affine stochastic volatility models. We first address the challenge of calculating moments for the models by introducing a recursive equation for deriving closed-form expressions for moments of any order. Consequently, we propose our moment estimators. We then establish a central limit theorem for our estimators and derive the explicit formulas for the asymptotic covariance matrix. Finally, we provide numerical results to validate our method.
Cite
@article{arxiv.2408.09185,
title = {Method of Moments Estimation for Affine Stochastic Volatility Models},
author = {Yan-Feng Wu and Xiangyu Yang and Jian-Qiang Hu},
journal= {arXiv preprint arXiv:2408.09185},
year = {2024}
}