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Long-Memory Affine Aggregated ARTCH (LM-Aff-Agg-ARTCH) with parameter set 2

The process is identical to LM-Aff-Agg-ARTCH process, but with another set of parameter.

The coefficients follow a power law decay. The parameters for the simulations are

• σ∞ = 0.11
• w∞ = 0.11
• τ₁ = 1h20 min
• ρ =
• ρ^n-1 = 8192 (i.e. n = 27)
• λ = 0.15
• θ₁ = 0.1
• λ′ = 1.2
• The cross term returns use the lags given by l_k = ρ^k-1.

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.