| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1145040 | Journal of the Korean Statistical Society | 2009 | 8 Pages |
Abstract
In this paper, we introduce an approximate approach to the fractional integrated GARCH(1,1) model of continuous time perturbed by fractional noise. Based on the L2L2-approximation of this noise by semimartingales, we proved a convergence theorem concerning an approximate solution. A simulation example shows a significant reduction of error in a fractional stock price model as compared to the classical stock price model.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
T. Plienpanich, P. Sattayatham, T.H. Thao,