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arXiv · 1403.7068

Asymmetric COGARCH processes

Anita Behme·Claudia Klüppelberg·Kathrin Mayr
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Abstract

Financial data are as a rule asymmetric, although most econometric models are symmetric. This applies also to continuous-time models for high-frequency and irregularly spaced data. We discuss some asymmetric versions of the continuous-time GARCH model, concentrating then on the GJR-COGARCH. We calculate higher order moments and extend the first jump approximation. These results are prerequisites for moment estimation and pseudo maximum likelihood estimation of the GJR-COGARCH parameters, respectively, which we derive in detail.

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Anita Behme, Claudia Klüppelberg, Kathrin Mayr. 2014-03-27. Asymmetric COGARCH processes. https://arxiv.org/abs/1403.7068

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