Superposition of COGARCH processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:125

Article

Behme, Anita¹  Chong, Carsten¹  Klueppelberg, Claudia¹ 

[1] Tech Univ Munich, Ctr Math Sci, D-85748 Garching, Germany

关键词: COGARCH;    Continuous-time GARCH model;    Independently scattered;    Infinite divisibility;    Levy basis;    Levy process;    Random measure;    Stationarity;    Stochastic volatility process;    Sup-CO-GARCH;    Superposition;   

DOI  :  10.1016/j.spa.2014.11.004

来源: Elsevier

【 摘 要 】

We suggest three superpositions of COGARCH (sup-CO-GARCH) volatility processes driven by Levy processes or Levy bases. We investigate second-order properties, jump behaviour, and prove that they exhibit Pareto-like tails. Corresponding price processes are defined and studied. We find that the sup-CO-GARCH models allow for more flexible autocovariance structures than the COGARCH. Moreover, in contrast to most financial volatility models, the sup-CO-GARCH processes do not exhibit a deterministic relationship between price and volatility jumps. Furthermore, in one sup-CO-GARCH model not all volatility jumps entail a price jump, while in another sup-CO-GARCH model not all price jumps necessarily lead to volatility jumps. (C) 2014 Elsevier B.V. All rights reserved.

【 授权许可】

Free