Abstract:In this paper, we study the class of semi-Lévy driven continuous-time GARCH, denoted by SLD-COGARCH, process. The statistical properties of this process are characterized. We show that the state process of such process can be described by a random recurrence equation with the periodic random coefficients. We establish sufficient conditions for the existence of a strictly periodically stationary solution of the state process which causes the volatility process to be strictly periodically stationary. Furthermore… Show more
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