Semi-Levy driven continuous-time GARCH process
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Publication:6311686
DOI10.1016/J.PHYSA.2020.124855arXiv1812.10777MaRDI QIDQ6311686FDOQ6311686
Authors: Mohammad Hassan Mohammadi, Saeid Rezakhah, N. Modarresi 
Publication date: 27 December 2018
Abstract: We study the class of semi-Levy driven continuous-time GARCH, denoted by SLD-COGARCH, process. The statistical properties of this process are characterized. We show that the state process of such process can be described by a random recurrence equation with the periodic random coeffcients. We establish sufficient conditions for the existence of a strictly periodically stationary solution of the state process which causes the volatility process to be strictly periodically stationary. Furthermore, it is shown that the increments with constant length of such SLD-COGARCH process are themselves a discrete-time periodically correlated (PC) process. We apply some tests to verify the PC behavior of these increments by the simulation studies. Finally, we show that how well this model fits a set of high-frequency financial data.
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