Estimating the COGARCH(1,1) model - a first go

We suggest moment estimators for the parameters of a continuous
time GARCH(1,1) process based on equally spaced observations. Using
the fact that the increments of the COGARCH(1,1) process are
ergodic, the resulting estimators are consistent. We investigate
the quality of our estimators in a simulation study based on the
compound Poisson driven COGARCH model. The estimated volatility
with corresponding residual analysis is also presented.