Arbeitspapier
Stationarity and second order behaviour of discrete and continuous time GARCH(1,1) processes
We use a discrete time analysis, giver 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. The models, based on a single background driving Lévy process, are different from, though related to, other continuous time stochastic volatility models that have been proposed, Our models generalise the essential features of discrete time GARCH processes, and are amenable to further analysis, possessing useful Markovian and stationarity properties.
- Language
-
Englisch
- Bibliographic citation
-
Series: Discussion Paper ; No. 337
- Subject
-
ARCH and GARCH models
stability
stationarity
conditional heteroscedasticity
perpetuities
stochastic integration
Lévy processes
- Event
-
Geistige Schöpfung
- (who)
-
Klüppelberg, Claudia
Lindner, Alexander M.
Maller, Ross
- Event
-
Veröffentlichung
- (who)
-
Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen
- (where)
-
München
- (when)
-
2003
- DOI
-
doi:10.5282/ubm/epub.1715
- Handle
- URN
-
urn:nbn:de:bvb:19-epub-1715-6
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Klüppelberg, Claudia
- Lindner, Alexander M.
- Maller, Ross
- Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen
Time of origin
- 2003
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