Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/31082
Authors: 
Klüppelberg, Claudia
Lindner, Alexander M.
Maller, Ross
Year of Publication: 
2003
Series/Report no.: 
Discussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 337
Abstract: 
We use a discrete time analysis, giver necessary and sufficient conditions for the almost sure convergence of ARCH(1) and GARCH(1,1) discrete time models, to suggest an extension of the (G)ARCH concept to continuous time processes. The models, based on a single background driving Lévy process, are different from, though related to, other continuous time stochastic volatility models that have been proposed, Our models generalise the essential features of discrete time GARCH processes, and are amenable to further analysis, possessing useful Markovian and stationarity properties.
Subjects: 
ARCH and GARCH models
stability
stationarity
conditional heteroscedasticity
perpetuities
stochastic integration
Lévy processes
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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