GARCH and Irregularly Spaced Data
CentER Working Paper No. 2003-27
Posted: 26 May 2004
Date Written: 2003
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.
Keywords: Volatility, continuous time model, exact discretization
JEL Classification: C22
Suggested Citation: Suggested Citation