Analysis of Stock Market Volatility by Continuous-time GARCH Models
نویسندگان
چکیده
The discrete time ARCH/GARCH model of Engle and Bollarslev has been enormously influential and successful in the modelling of financial data. Recently, Klüppelberg, Lindner, andMaller (2004) introduced the so-called “COGARCH”model as a continuoustime analogue to the GARCH model. Many aspects of the COGARCH have been investigated, including various of its theoretical properties, its relations to other continuous-time models, and the estimation of the parameters in it. We review some of these results in the present paper, and go on to apply the COGARCH to 5-minute data on the S&P500 index, in order to illustrate its ability to analyse stochastic volatility in very high-frequency, irregularly spaced, financial data.
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