Parameter Estimation for Long-Memory Stochastic Volatility at Discrete Observation

Table 1

The means and standard deviations of the estimators.

	𝐻=0.65		𝐻=0.70		𝐻=0.75		𝐻=0.85
	𝛼	𝛽	𝛼	𝛽	𝛼	𝛽	𝛼	𝛽
Panel A. Low parameter value 𝛼=0.7880, 𝛽=0.8215
Mean	0.7859	0.8166	0.7861	0.8280	0.7865	0.8164	0.7858	0.8333
Median	0.7868	0.8120	0.7865	0.8348	0.7865	0.8115	0.7860	0.8452
Standard deviation	0.1560	0.1030	0.1234	0.2933	0.7240	0.5533	0.8203	0.7709
Panel B. Median parameter value 𝛼=1.5880, 𝛽=1.8215
Mean	1.5845	1.8138	1.5832	1.8132	1.5851	1.8233	1.5829	1.8344
Median	1.5863	1.8067	1.5839	1.8053	1.5849	1.8251	1.5837	1.8477
Standard deviation	0.7819	0.5739	0.3454	0.2733	0.1074	0.5993	0.3145	0.3164
Panel C. High parameter value 𝛼=3.5880, 𝛽=5.8215
Mean	3.6069	5.9416	3.5999	5.7968	3.6031	5.9822	3.5741	5.7902
Median	3.6215	6.0701	3.6002	5.7722	3.6056	6.1446	3.5782	5.7618
Standard deviation	0.4331	0.4931	0.2272	0.2529	0.5654	0.7608	0.7594	1.0289