Base information Home Purpose FAQ Notations Formula Figure descriptions Indexes Links to time series Pop-up to time series Two-time series comparison One figure comparison

Long Memory Affine Aggregated ARCH process
(parameter set 2)

This process is identical to the LM-Aff-Agg-ARCH. The parameters for the simulation are identical, but for a stronger decay λ for the coefficients χ_k appearing in the effective variance.

• σ∞ = 0.11
• w∞ = 0.10
• τ₁ = exp(-3) day (i.e. τ₁ = 1h12)
• ρ =
• ρ^n-1 = 512 (i.e. n = 19)
• λ = 0.15

The innovations have a Student distribution with 3.3 degree of freedom. The simulation time corresponds to 200 years with a time increment δt = 3 minutes.

References