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Long Memory exponential (independant) stochastic volatility process

This model is identical to the Long Memory exponential stochastic volatility process, but without mean terms, i.e. m_k = 0   ∀ k. This removes the coupling between the logarithmic volatilities h_k, making the volatilities independent at each time horizons.

The parameters for the simulations are:

• σ∞ = 0.11
• τ₀ = 0.03125 day, τ_n = 32 day, ρ = 2 (i.e. n = 12)
• γ = 0.6
• p(ϵ_r) = Student with 5 degrees of freedom
• p(ϵ_σ) = Student with 5 degrees of freedom