GARCH and Irregularly Spaced Data

CentER Working Paper No. 2003-27

Posted: 26 May 2004

See all articles by Nour Meddahi

Nour Meddahi

University of Montreal - Department of Economics

Eric Renault

University of North Carolina (UNC) at Chapel Hill - Department of Economics

Bas J. M. Werker

Tilburg University - Center for Economic Research (CentER)

Date Written: 2003

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.

Keywords: Volatility, continuous time model, exact discretization

JEL Classification: C22

Suggested Citation

Meddahi, Nour and Renault, Eric and Werker, Bas J.M., GARCH and Irregularly Spaced Data (2003). CentER Working Paper No. 2003-27, Available at SSRN: https://ssrn.com/abstract=550241

Nour Meddahi (Contact Author)

University of Montreal - Department of Economics ( email )

C.P. 6128, succursale Centre-Ville
Montreal, Quebec H3C 3J7
Canada

Eric Renault

University of North Carolina (UNC) at Chapel Hill - Department of Economics ( email )

Chapel Hill, NC 27599
United States

Bas J.M. Werker

Tilburg University - Center for Economic Research (CentER) ( email )

Econometrics and Finance Group
5000 LE Tilburg
Netherlands

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
647
PlumX Metrics