SV2F {JumpTest} | R Documentation |
Simulate Stochastic Volitility model with two factors model (no jump) with given length and other parameters
SV2F(M, m, p.0 = 3, mu = 0.03, v.1 = 0.5, v.2 = 0.5, beta.0 = -1.2, beta.1 = 0.04, beta.2 = 1.5, alpha.1 = -0.137 * exp(-2), alpha.2 = -1.386, beta.v2 = 0.25, r1 = -0.3, r2 = -0.3)
M |
number of interverals to be simulated |
m |
number of time points within each interval |
p.0 |
start price |
mu |
drift |
v.1 |
volatility parameter |
v.2 |
volatility parameter |
beta.0 |
underlying Brownian motion intercept paramter |
beta.1 |
underlying Brownian motion slope parameter |
beta.2 |
underlying Brownian motion slope parameter |
alpha.1 |
volatility parameter |
alpha.2 |
volatility parameter |
beta.v2 |
second factor Brownian motion slope parameter |
r1 |
correlation to first factor |
r2 |
correlation to second factor |
simulated time series
Chernov, M., et al. (2003). "Alternative models for stock price dynamics." Journal of Econometrics 116(1): 225-257.
SV2F(1000,390)