SV1F {JumpTest} | R Documentation |
Simulate stochastic volatility with one factor model (no jump) with given length and other parameters
SV1F(M, m, p0 = 3, mu = 0.03, v0 = 5, beta0 = 0, beta1 = 0.125, alphav = -0.1, cov = -0.62)
M |
number of interverals to be simulated |
m |
number of time points within each interval |
p0 |
start price |
mu |
drift |
v0 |
volatility parameter |
beta0 |
underlying Brownian motion intercept paramter |
beta1 |
underlying Brownian motion slope parameter |
alphav |
volatility parameter |
cov |
Brownian motion correlation |
simulated time series
Chernov, M., et al. (2003). "Alternative models for stock price dynamics." Journal of Econometrics 116(1): 225-257.
SV1F(1200,390)