Whittle Estimation of Exponential Volatility Models
نویسنده
چکیده
The strong consistency and asymptotic normality of the Whittle estimate of the parameters in a class of exponential volatility processes are established. Among many models of interest, this class includes one-shock models, such as the EGARCH model of Nelson (1991), and two-shock models, such as the SV model of Taylor (1986). The variable of interest might not have finite fractional moment of any order and so, in particular, finite variance is not imposed. We allow for a wide range of degrees of persistence of shocks to conditional variance, allowing for both short and long memory. A detailed Monte-Carlo exercise shows the small-sample properties of the estimator. We present an empirical application using the Standard & Poor’s 500 composite stock index.
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