On Moment Non-Explosions for Wishart-Based Stochastic Volatility Models
15 Pages Posted: 23 Jan 2016 Last revised: 25 Apr 2018
Date Written: February 23, 2016
This paper provides a result on moment non-explosions for a stock following a Wishart multidimensional stochastic volatility dynamic or a Wishart affine stochastic correlation dynamic when the parameter values satisfy certain constraints. By reformulating the stock dynamic in terms of the volatility path along with standard results on matrix Lyapunov and Riccati equations, a non-explosion result of the moment of order greater than one can be obtained. It extends to these frameworks a property well known for the Heston model.
Keywords: Moment non-explosions, Wishart multidimensional stochastic volatility model, Wishart affine stochastic correlation model
JEL Classification: G12,G13
Suggested Citation: Suggested Citation