Shephard, Neil G.; Andersen, Torben - 2008
case,
dσ2 = ασ2dt+ωσ2dB. (10)
This formulation is closely related to the so-called GARCH diffusion which arises as the … diffusion
limit of a sequence of GARCH(1,1) models, see Nelson (1990), and has been used for volatility
forecasting. Another … features of the time series at hand. For financial data this typically
involves an ARMA-GARCH specification along with a …