The logGARCH stochastic volatility model

Abstract

This article introduces a new class of stochastic volatility models called $logGARCH$ Stochastic Volatility models ($logGARCH$-$SV$). We establish the strict stationarity and second-order stationarity properties of this model class. Additionally, we provide conditions for the existence of higher-order moments. To estimate the parameters of the proposed model, we utilize a sequential Monte Carlo method. Finally, we assess the performance of the suggested estimation method through a simulation study.