Estimation of k-Factor Gigarch Process: A Monte Carlo Study

In this paper, we discuss the parameter estimation for a k-factor generalized long memory processwith conditionally heteroskedastic noise. Two estimation methods are proposed. The first method is based on the conditional distribution of the process and the second is obtained as an extension of Whittle's estimation approach. For comparison purposes, Monte Carlo simulations are used to evaluate the finite sample performance of these estimation techniques, using four different conditional distribution functions.