2013/05/10 by Anita Behme, Behme, Anita, Carsten Chong +3
Economics, Econometrics and Finance · #60G57 #60H05 #Economic theories and models #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #primary: 60G10 secondary: 60G51
paper · pdf · doi:10.48550/arxiv.1305.2296
openalex publication_date 2013/05/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We suggest three superpositions of COGARCH (supCOGARCH) volatility processes driven by Lévy processes or Lévy bases. We investigate second-order properties, jump behaviour, and prove that they exhibit Pareto-like tails. Corresponding price processes are defined and studied. We find that the supCOGARCH models allow for more flexible autocovariance structures than the COGARCH. Moreover, other than most financial volatility models, the supCOGARCH processes do not exhibit a deterministic relationship between price and volatility jumps. Furthermore, in one supCOGARCH model not all volatility jumps entail a price jump, while in another supCOGARCH model not all price jumps necessarily lead to volatility jumps.