Appleby, John A. D.; Daniels, John A.; Krol, Katja - arXiv.org - 2012
This note develops a stochastic model of asset volatility. The volatility obeys a continuous-time autoregressive equation. Conditions under which the process is asymptotically stationary and possesses long memory are characterised. Connections with the class of ARCH($\infty$) processes are sketched.