Reconsidering the continuous time limit of the GARCH(1, 1) process

@inproceedings{Corradi2000ReconsideringTC,
  title={Reconsidering the continuous time limit of the GARCH(1, 1) process},
  author={Valentina Corradi},
  year={2000}
}
Abstract In this note we reconsider the continuous time limit of the GARCH(1, 1) process. Let Y k and σ k 2 denote, respectively, the cumulative returns and the volatility processes. We consider the continuous time approximation of the couple (Y k , σ k 2 ). We show that, by choosing different parameterizations, as a function of the discrete interval h , we can obtain either a degenerate or a non-degenerate diffusion limit. We then show that GARCH(1, 1) processes can be obtained as Euler… CONTINUE READING
BETA

Similar Papers

Citations

Publications citing this paper.
SHOWING 1-10 OF 40 CITATIONS

MCMC Estimation of the COGARCH(1,1) Model

VIEW 9 EXCERPTS
CITES RESULTS, METHODS & BACKGROUND
HIGHLY INFLUENCED

On The Continuous Limit of GARCH

VIEW 13 EXCERPTS
CITES BACKGROUND, METHODS & RESULTS
HIGHLY INFLUENCED

Unit root tests under time-varying variances

VIEW 4 EXCERPTS
CITES METHODS
HIGHLY INFLUENCED

The Di ¤ usion Limit of A TVP-GQARCH-M ( 1 , 1 ) Model

VIEW 11 EXCERPTS
CITES METHODS & BACKGROUND
HIGHLY INFLUENCED