- 1.5k Downloads
This chapter introduces the continuous GARCH models, namely COGARCH(p, q). These models are a generalization of the conditional heteroscedasticity GARCH time series models where the time is continuous and the innovation follows a Lévy process. Simulation and inference for this model are considered as well as the fit of COGARCH to real data. Full R code for completing the above analyses with yuima package is provided.