Logo Logo
Hilfe
Hilfe
Switch Language to English
Haug, Stephan und Czado, Claudia (2006): An exponential continuous time GARCH process. Sonderforschungsbereich 386, Discussion Paper 480
[img]
Vorschau
591kB

Abstract

In this paper we introduce an exponential continuous time GARCH(p,q) process. It is defined in such a way that it is a continuous time extension of the discrete time EGARCH(p,q) process. We investigate stationarity and moment properties of the new model. An instantaneous leverage effect can be shown for the exponential continuous time GARCH(p,p) model.