GARCH and Irregularly Spaced Data

N. Meddahi, E. Renault, B.J.M. Werker

Research output: Working paperDiscussion paperOther research output

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Abstract

An exact discretization of continuous time stochastic volatility processes observed at irregularly spaced times is used to give insights on how a coherent GARCH model can be specified for such data. The relation of our approach with those in the existing literature is studied.
Original languageEnglish
Place of PublicationTilburg
PublisherFinance
Number of pages6
Volume2003-27
Publication statusPublished - 2003

Publication series

NameCentER Discussion Paper
Volume2003-27

Fingerprint

Discretization
Generalized autoregressive conditional heteroscedasticity
GARCH model
Stochastic volatility
Continuous time

Keywords

  • volatility
  • continuous time model
  • garch models
  • time models
  • exact discretization

Cite this

Meddahi, N., Renault, E., & Werker, B. J. M. (2003). GARCH and Irregularly Spaced Data. (CentER Discussion Paper; Vol. 2003-27). Tilburg: Finance.
Meddahi, N. ; Renault, E. ; Werker, B.J.M. / GARCH and Irregularly Spaced Data. Tilburg : Finance, 2003. (CentER Discussion Paper).
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Meddahi, N, Renault, E & Werker, BJM 2003 'GARCH and Irregularly Spaced Data' CentER Discussion Paper, vol. 2003-27, Finance, Tilburg.

GARCH and Irregularly Spaced Data. / Meddahi, N.; Renault, E.; Werker, B.J.M.

Tilburg : Finance, 2003. (CentER Discussion Paper; Vol. 2003-27).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - GARCH and Irregularly Spaced Data

AU - Meddahi, N.

AU - Renault, E.

AU - Werker, B.J.M.

N1 - Pagination: 6

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AB - An exact discretization of continuous time stochastic volatility processes observed at irregularly spaced times is used to give insights on how a coherent GARCH model can be specified for such data. The relation of our approach with those in the existing literature is studied.

KW - volatility

KW - continuous time model

KW - garch models

KW - time models

KW - exact discretization

M3 - Discussion paper

VL - 2003-27

T3 - CentER Discussion Paper

BT - GARCH and Irregularly Spaced Data

PB - Finance

CY - Tilburg

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Meddahi N, Renault E, Werker BJM. GARCH and Irregularly Spaced Data. Tilburg: Finance. 2003. (CentER Discussion Paper).