JumpTest (version 1.1)

SVJ: SVJ model with one factor simulation

Description

Simulate stochastic volatility model (with jump) with given length and other parameters

Usage

SVJ(M, m, p0 = 3, lambda = 0.2, mu = 0.05, v0 = 0, b = 0.2,
  alpha = 0.015, sigma = 0.05, sigma1 = 1)

Arguments

M

number of interverals to be simulated

m

number of time points within each interval

p0

start price

lambda

frequency of jump

mu

drift

v0

starting volatility

b

volatility parameter

alpha

volatility parameter

sigma

volatility parameter

sigma1

jump size parameter

Value

simulated time series

References

Yen, Y.-M. (2013). "Testing Jumps via False Discovery Rate Control." PloS one 8(4): e58365.

Examples

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