• Title/Summary/Keyword: COGARCH(1,1) process

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A continuous time asymmetric power GARCH process driven by a L$\'{e}$vy process

  • Lee, Oe-Sook
    • Journal of the Korean Data and Information Science Society
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    • v.21 no.6
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    • pp.1311-1317
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    • 2010

  • A continuous time asymmetric power GARCH(1,1) model is suggested, based on a single background driving L$\'{e}$vy process. The stochastic differential equation for the given process is derived and the strict stationarity and kth order moment conditions are examined.

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