Estimation for a Second-Order Jump Diffusion Model from Discrete Observations: Application to Stock Market Returns

Table 1

Parameters estimate, standard error, and root of mean square error for model (12), where =0.2, =−20, =0.1, =10, =0.05, =0.1, and =0.5.

=1260	MEAN	0.2746	−20.7403	0.0960	10.2741	0.0538	0.1086	0.4663
	SD	0.2708	2.6095	0.0264	1.4731	0.0167	0.0069	0.0473
	RMSE	0.2856	2.5985	0.0261	1.4763	0.0166	0.0067	0.0471
=2520	MEAN	0.2372	−20.3026	0.1014	9.8620	0.0496	0.1024	0.4986
	SD	0.2250	2.0568	0.0132	1.2086	0.0082	0.0028	0.0222
	RMSE	0.2269	2.1638	0.0132	1.2105	0.0082	0.0028	0.0221
=3780	MEAN	0.2151	−20.1906	0.0994	10.0149	0.0498	0.1006	0.5040
	SD	0.2017	1.4665	0.0114	0.8613	0.0069	0.0023	0.0204
	RMSE	0.2041	1.4679	0.0114	0.8570	0.0068	0.0023	0.0203
=5040	MEAN	0.2112	−20.1625	0.0992	9.9446	0.0504	0.1001	0.5026
	SD	0.1502	1.4916	0.0093	0.7038	0.0062	0.0023	0.0181
	RMSE	0.1498	1.5089	0.0092	0.7098	0.0061	0.0023	0.0184