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Link index

Conventions, formula and figure descriptions

• Description of the notations and conventions .
• The formula to compute the returns and volatilities .
• Description of each pages and graphs.

Foreign exchange

• CHF/USD
• DKK/USD
• JPY/USD
• USD/GBP
• GOLD/USD

Constant volatility processes

• Constant volatility with normal innovations
• Constant volatility with Student innovations

ARCH-like processes

• GARCH(1,1)
• EGARCH(1,1)
• Aff-FIGARCH
• Long-Memory Affine Microscopic ARCH
  
• Long-Memory Affine Aggregated ARCH (parameter set 1)
  
• Long-Memory Affine Aggregated ARCH (parameter set 2)
  
• Long-Memory Affine Pure-Aggregated ARCH (parameter set 1)
  
• Long-Memory Affine Pure-Aggregated ARCH (parameter set 2)
  
• Market-component Affine Aggregated ARCH with EMA
  
• Market-component Affine Aggregated ARCH with MA
  
• Market-component Affine Microscopic ARCH with MA
  

ARCH-like processes with trend

• GARTCH(1,1)
• Long-Memory Affine Microscopic ARTCH
  
• Long-Memory Affine Aggregated ARTCH (parameter set 1)
  
• Long-Memory Affine Aggregated ARTCH (parameter set 2)
  
• Market-component Affine Microscopic ARTCH with MA
  

Multiplicative - ARCH processes

• Multiplicative GARCH(1,1)
• multiplicative Long-Memory Affine Microscopic ARCH

Stochastic volatility processes

• Exponential 1 component stoch.vol
• Exponential long-memory stoch.vol
• Exponential long-memory stoch.vol (indep.comp.)
• Heston stoch.vol. with Gaussian innovations
• Heston stoch.vol. with Student innovations
• Long Memory Heston stoch.vol.

ARCH + stochastic volatility

• GARCH(1,1)+stoch.vol.
• LM-Aff-Agg-ARCH(1,1)+stoch.vol.

Regime switching

• Regime switching with 2 states
• Regime switching with 3 states

Other processes

• Minority Game