Lectures for Part II: Time Series Models in Finance
Lectures for Part II: Time Series Models in Finance
Lectures for Part II: Time Series Models in Finance
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8.7 Summary of results <strong>for</strong> ACF of GARCH(p,q) and SV models (cont)<br />
SV Model<br />
α∈(0,2):<br />
1/ α<br />
d 1 h+<br />
1 α h<br />
( n / ln n) ρˆ<br />
( h)<br />
⎯⎯→<br />
.<br />
X<br />
σ σ<br />
σ<br />
1<br />
2<br />
α<br />
S<br />
S<br />
0<br />
α∈(2, ∞):<br />
1/2<br />
d −1<br />
( n ρ ( h)<br />
) ⎯⎯→<br />
(0)( G ) .<br />
ˆ<br />
X<br />
γ<br />
h= 1, K , m<br />
X h h=<br />
1, K,<br />
m<br />
MaPhySto Workshop 9/04<br />
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