JumpTest (version 1.1)

SV2F: SV2F model simulation

Description

Simulate Stochastic Volitility model with two factors model (no jump) with given length and other parameters

Usage

SV2F(M, m, p.0 = 3, mu = 0.03, v.1 = 0.5, v.2 = 0.5,
  beta.0 = -1.2, beta.1 = 0.04, beta.2 = 1.5, alpha.1 = -0.137 *
  exp(-2), alpha.2 = -1.386, beta.v2 = 0.25, r1 = -0.3, r2 = -0.3)

Arguments

M

number of interverals to be simulated

m

number of time points within each interval

p.0

start price

mu

drift

v.1

volatility parameter

v.2

volatility parameter

beta.0

underlying Brownian motion intercept paramter

beta.1

underlying Brownian motion slope parameter

beta.2

underlying Brownian motion slope parameter

alpha.1

volatility parameter

alpha.2

volatility parameter

beta.v2

second factor Brownian motion slope parameter

r1

correlation to first factor

r2

correlation to second factor

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 {
SV2F(1000,390)
# }