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Document type:
Buchbeitrag 
Author(s):
Müller, G., Durand, R., Maller, R., Klüppelberg, C. 
Artist:
Gregoriou, G.N. 
Title:
Analysis of stock market volatility by continuous-time GARCH models 
Pages contribution:
31-50 
Abstract:
The discrete time ARCH/GARCH model of Engle and Bollarslev has been enormously influential and successful in the modelling of financial data. Recently, Kl¨uppelberg, Lindner, and Maller (2004) introduced the so-called “COGARCH” model as a continuoustime analogue to the GARCH model. Many aspects of the COGARCH have been investigated, including various of its theoretical properties, its relations to other continuous-time models, and the estimation of the parameters in it. We review some of these results in the present paper, and go on to apply the COGARCH to 5-minute data on the S&P500 index, in order to illustrate its ability to analyse stochastic volatility in very high-frequency, irregularly spaced, financial data. 
Book title:
Gregoriou, G.N.: Stock Market Volatility 
Publisher:
Chapman Hall/Taylor and Francis 
Publisher address:
London 
Year:
2009 
Reviewed:
ja 
Language:
en 
Semester:
SS 09 
Format:
Text