Semi-Lévy driven continuous-time GARCH process
نویسندگان
چکیده
منابع مشابه
Lévy flights from a continuous-time process.
Lévy flight dynamics can stem from simple random walks in a system whose operational time (number of steps n) typically grows superlinearly with physical time t. Thus this process is a kind of continuous-time random walk (CTRW), dual to the typical Scher-Montroll model, in which n grows sublinearly with t. Models in which Lévy flights emerge due to a temporal subordination allow one easily to d...
متن کاملAn exponential continuous time GARCH process
In this paper we introduce an exponential continuous time GARCH(p, q) process. It is defined in such a way that it is a continuous time extension of the discrete time EGARCH(p, q) process. We investigate stationarity, mixing and moment properties of the new model. An instantaneous leverage effect can be shown for the exponential continuous time GARCH(p, p) model.
متن کاملA Continuous Time GARCH Process Driven by a Lévy Process: Stationarity and Second Order Behaviour
We use a discrete time analysis, giving necessary and sufficient conditions for the almost sure convergence of ARCH(1) and GARCH(1,1) discrete time models, to suggest an extension of the (G)ARCH concept to continuous time processes. Our “COGARCH” (continuous time GARCH) model, based on a single background driving Lévy process, is different from, though related to, other continuous time stochast...
متن کاملGarch Time Series Process
We examine in detail the various attributes of a time series data set for financial returns. We consider multiple time series models in order to determine which will proved the best fit. Particular attention is placed on the mathematical properties of the most common models. Topic addressed include: differencing, stationarity, autocorrelation, lag, acf, partial acf, independence, AR process, MA...
متن کاملReconsidering the continuous time limit of the GARCH ( 1 , 1 ) process
In this note we reconsider the continuous time limit of the GARCH(1, 1) process. Let > k and p2 k denote, respectively, the cumulative returns and the volatility processes. We consider the continuous time approximation of the couple (> k , p2 k ). We show that, by choosing di!erent parameterizations, as a function of the discrete interval h, we can obtain either a degenerate or a non-degenerate...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2020
ISSN: 0378-4371
DOI: 10.1016/j.physa.2020.124855