Continuous-time GARCH processes (Q997951)

The paper introduces a continuous-time generalized autoregressive conditionally heteroscedastic process, named COGARCH(p,q), \(q\geq p\geq1\), generalizing the COGARCH(1,1) process of \textit{C. Klüppelberg, A. Lindner} and \textit{R. Maller} [J. Appl. Probab. 41, No. 3, 601--622 (2004; Zbl 1068.62093)]. This process exhibits many of the stylized facts of observed financial time series, while their corresponding volatility and squared increments processes display a broader range of autocorrelation structures than those of the COGARCH(1,1) process. The paper establishes sufficient conditions for the existence of a strictly stationary nonnegative solution of the equations for the volatility process and further properties.