An exponential continuous time GARCH process

In this paper we introduce an exponential continuous time GARCH(p, q) process. It is defined in such a way that it is a continuous time extension of the discrete time EGARCH(p, q) process. We investigate stationarity and moment properties of the new model. An instantaneous leverage effect can be shown for the exponential continuous time GARCH(p, p) model.

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Year of publication:	2006
Authors:	Haug, Stephan ; Czado, Claudia
Publisher:	München : Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen
Subject:	exponential continuous time GARCH process \| EGARCH \| Lévy process \| stationarity \| stochastic volatility

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Series:	Discussion Paper ; 480
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.5282/ubm/epub.1848 [DOI] 517174243 [GVK] hdl:10419/31030 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010274233