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COGARCH Models

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Abstract

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.

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© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Department of Economics, Management and Quantitative MethodsUniversity of MilanMilanItaly
  2. 2.Graduate School of Mathematical SciencesUniversity of TokyoTokyoJapan

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