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 …

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 …

Barndorff-Nielsen and Shephard (2001) with those of the COGARCH process. The latter is a continuous time GARCH process …. Furthermore, it is shown that the COGARCH process has Pareto like tails under weak regularity conditions. …