SVJ {JumpTest} | R Documentation |
Simulate stochastic volatility model (with jump) with given length and other parameters
SVJ(M, m, p0 = 3, lambda = 0.2, mu = 0.05, v0 = 0, b = 0.2, alpha = 0.015, sigma = 0.05, sigma1 = 1)
M |
number of interverals to be simulated |
m |
number of time points within each interval |
p0 |
start price |
lambda |
frequency of jump |
mu |
drift |
v0 |
starting volatility |
b |
volatility parameter |
alpha |
volatility parameter |
sigma |
volatility parameter |
sigma1 |
jump size parameter |
simulated time series
Yen, Y.-M. (2013). "Testing Jumps via False Discovery Rate Control." PloS one 8(4): e58365.
SVJ(390,1200)