GARCH Model Applications. Comparison of Stationary Solutions of Stochastic Difference and Differential Equations

APLIMAT 2014 : 13th Conference on Applied Mathematics : Proceedings / ed. by D.Velichova ... [et al.] 2014
Aleksandrs Gehsbargs

Main results for stochastic differential equations apply to their stationary solutions. For obvious reasons underlying processes are simulated with stochastic difference equations. Such equations also have stationary solutions that depend on the time step h. In the current paper relation between statistical features of stationary solutions of stochastic difference and differential equations are investigated. Moreover, possible approaches to the choice of time step h are discussed.

Keywords
GARCH models; Stationary solutions; Stochastic difference equations; Stochastic differential equations

Gehsbargs, A. GARCH Model Applications. Comparison of Stationary Solutions of Stochastic Difference and Differential Equations. In: APLIMAT 2014 : 13th Conference on Applied Mathematics : Proceedings / ed. by D.Velichova ... [et al.], Slovakia, Bratislava, 4-6 February, 2014. Bratislava: Slovak University of Technology, 2014, pp.159-173. ISBN 978-80-227-4140-8.

Publication language
English (en)