JumpTest (version 1.1)

SV1F: SV1F model with one factor simulation

Description

Simulate stochastic volatility with one factor model (no jump) with given length and other parameters

Usage

SV1F(M, m, p0 = 3, mu = 0.03, v0 = 5, beta0 = 0, beta1 = 0.125,
  alphav = -0.1, cov = -0.62)

Arguments

M

number of interverals to be simulated

m

number of time points within each interval

p0

start price

mu

drift

v0

volatility parameter

beta0

underlying Brownian motion intercept paramter

beta1

underlying Brownian motion slope parameter

alphav

volatility parameter

cov

Brownian motion correlation

Value

simulated time series

References

Chernov, M., et al. (2003). "Alternative models for stock price dynamics." Journal of Econometrics 116(1): 225-257.

Examples

# NOT RUN {
SV1F(1200,390)
# }