Volatility Estimation of General Gaussian Ornstein-Uhlenbeck Process

Abstract

In this article we study the asymptotic behaviour of the realized quadratic variation of a process ${\int }_0^t{u}_{s}d{G}_s^H$, where $u$ is a ${\hat{I}}^2$-Hölder continuous process with ${\hat{I}}^2>1-H$ and $G^H$ is a self-similar Gaussian process with parameters $H\in (0,3/4)$. We prove almost sure convergence uniformly in time, and a stable weak convergence for the realized quadratic variation. As an application, we construct strongly consistent estimator for the integrated volatility parameter in a model driven by $G^H$.