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عمومی::
غیرگوسی
We develop simulation schemes for the new classes of non-Gaussian pure jump Lévy processes for sto- chastic volatility.
Recently, Barndorff-Nielsen and Shephard (2001a, b) sug- gested a completely new class of models, termed non-Gaussian Ornstein-Uhlenbeck (OU) models, in which the driving process for a volatility factor is a pure-jump Lévy process with non- negative increments; simple parametric sign restrictions ensure positivity.
In the models considered herein, the volatility dynamics are governed by the Brockwell-style CARMA extension of the Barndorff-Nielsen and Shephard non-Gaussian OU setup.
The equations in (41) can be viewed as extensions of the general case observed by Barndorff-Nielsen and Shephard (2001b, c) that in the non-Gaussian OU model the integrated variance is linear in the Lévy innovations, and (42) gives the functional form for the CARMA(2, 1) model.
We have developed simulation schemes for the new classes of non-Gaussian pure-jump Lévy processes for stochastic volatil- ity.
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