Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models

Klüppelberg, Claudia; Lindner, Alexander M.; Maller, R. A. (2005): Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models. Collaborative Research Center 386, Discussion Paper 426

Abstract

We compare the probabilistic properties of the non-Gaussian Ornstein-Uhlenbeck based stochastic volatility model of Barndorff-Nielsen and Shephard (2001) with those of the COGARCH process. The latter is a continuous time GARCH process introduced by the authors (2004). Many features are shown to be shared by both processes, but differences are pointed out as well. Furthermore, it is shown that the COGARCH process has Pareto like tails under weak regularity conditions.

• Item Type: Paper (Research Paper)
• Faculties: Mathematics, Computer Science and Statistics > Statistics > Collaborative Research Center 386; Special Research Fields > Special Research Field 386
• Subjects: 500 Science > 510 Mathematics
• Language: English