【摘 要】
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Two typical ARCH models: the ASDARCH model and the APARCH model are analyzed. Let Yk and σ2k denote the log returns and the volatility. When the time inter
【机 构】
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Department of Mathematical Sciences
论文部分内容阅读
Two typical ARCH models: the ASDARCH model and the APARCH model are analyzed. Let Yk and σ2k denote the log returns and the volatility. When the time interval h goes to zero, (Yk,σ2k), as a discrete time Markov chain system, weakly converges to a continuous time diffusion process. The continuous time approximation of the ASDARCH model is done using two different methods. With some transformation, these two results are equivalent to high frequency data. The continuous time approximation of the APARCH model is obtained by a different procedure.
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