COGprm: Class For Cogarch Parameters

In COGARCH: Simulation and inferenc for COGARCH(1,1) processes

Description

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} .

Usage

COGprm(...)

Arguments

...	Arguments for the constructor COGprm(eta,beta,phi):

eta

is a numeric object.

beta

is a numeric object.

phi

is a numeric object.

Details

An object of class COGprm is the main input for the rCOGARCH method

Author(s)

Cogarch Team

References

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.

COGARCH documentation built on May 2, 2019, 5:28 p.m.