International Conference «Mathematical and Informational Technologies, MIT-2011»
(IX Conference «Computational and Informational Technologies for Science,
Engineering and Education»)

Vrnjacka Banja, Serbia, August, 27–31, 2011

Budva, Montenegro, August, 31 – September, 5, 2011

Popović B.   Stojanović V.  

The Distribution of Split-SV(1) Model

Reporter: Popović B.

In this paper we continue our research on special type heteroscedastic time series that we defined in [1]. The model Split-SV(1) is wide sense stationary, but not strict stationary of any order. The one dimensional marginal distribution of the model is given.

[1] Stojanović V., Popović B.: The models of stochastic volatility in applications, Proceeding of the conference SYM-OP-IS 2010, pp. 761-764, in Serbian

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