SV: SV model with one factor simulation

In JumpTest: Financial Jump Detection

Description

Simulate stochastic volatility model (np jump) with given length and other parameters

Usage

SV(M, m, p0 = 3, mu = 0.05, v0 = 0, b = 0.2, alpha = 0.015,
  sigma = 0.05)

Arguments

M	number of interverals to be simulated
m	number of time points within each interval
p0	start price
mu	drift
v0	starting volatility
b	volatility parameter
alpha	volatility parameter
sigma	volatility parameter

Value

simulated time series

References

Yen, Y.-M. (2013). "Testing Jumps via False Discovery Rate Control." PloS one 8(4): e58365.

Examples

SV(390,1200)

JumpTest documentation built on May 1, 2019, 9:45 p.m.