proposed to deal with non-equally spaced observations, as COGARCH model based on Lévy processes. In this paper, we propose to … use the data cloning methodology in order to obtain estimators of GARCH and COGARCH model parameters. Data cloning … pseudo-likelihood function. After a simulation study for both GARCH and COGARCH models using data cloning, we apply this …

and TGARCH are used to obtain the volatility of data. in addition , continuous time GARCH (COGARCH) model that is the … extansion and analogue of the discrete time GARCH process, is the new approach for volatility and derivative pricing. COGARCH …

This study aims to construct continuous-time autoregressive (CAR) model and continuous-time GARCH (COGARCH) model from … solutions to stochastic differential equation Lévy-driven processes. We have shown that CAR(1) and COGARCH(1,1) processes are …

model, COGARCH(1,1) was applied as a continuous model. …

We suggest three superpositions of COGARCH (sup-CO-GARCH) volatility processes driven by Lévy processes or Lévy bases … structures than the COGARCH. Moreover, in contrast to most financial volatility models, the sup-CO-GARCH processes do not exhibit …