Fractional integrated GARCH diffusion limit models |
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| Authors: | T Plienpanich P Sattayatham TH Thao |
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| Institution: | 1. School of Mathematics, Institute of Science, Suranaree University of Technology, Nakhon Ratchasima, Thailand;2. Institute of Mathematics, Vietnam Academy of Science and Technology, Viet Nam |
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| Abstract: | In this paper, we introduce an approximate approach to the fractional integrated GARCH(1,1) model of continuous time perturbed by fractional noise. Based on the -approximation of this noise by semimartingales, we proved a convergence theorem concerning an approximate solution. A simulation example shows a significant reduction of error in a fractional stock price model as compared to the classical stock price model. |
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