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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
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