Description Usage Arguments Details Author(s) References
The COGprm
class is a class of the COGARCH
package that contains the values of the Cogarch(1,1) model.
The Cogarch Model is defined as:
dG_{t} = sigma_{t-}dL_{t}
dsigma_{t}^{2}=(beta-eta*sigma^{2}_{t-})dt+phi*sigma^{2}_{t-}d[L]^{d}_{t}
where beta > 0
, eta > 0
and eta > 0
.
[L]^{d}_{t}
denotes the discrete part of the quadratic variation of the driving Levy process L_{t}
.
1 |
... |
Arguments for the constructor |
is a numeric object.
is a numeric object.
is a numeric object.
An object of class COGprm
is the main input for the rCOGARCH
method
Cogarch Team
Klupperlberg, C., Lindner, A., and Maller, R (2004). A continuous-time GARCH process driven by a Levy process: stationarity and second-order behaviour. J. Appl. Probab., 41(3) 601-622.
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