Long-Memory Affine Pure-Aggregated ARCH (LM-Aff-PureAgg-ARCH)

The process is identical to the LM-Aff-PureAgg-ARCH.

This second set of parameters uses no decay up to the upper cut-off in order to have a flatter historical-realized volatility correlation, and innovations with slightly larger tails.

  1. σ∞ = 0.11.
  2. w∞ = 0.35
  3. α = 1.0
  4. lmax = 32768
  5. p(ϵ): Student with 4 degrees of freedom

The simulation time corresponds to 70 years with a time increment δt = 3 minutes.