Hot answers tagged bitcoin
For the question in your title, The mean reversion of the volatility is due to the Moving Average part of the volatility process. The solution would be to set $\beta = 0$. In other words you have to use an AR process for the volatility (so an ARCH model for price). The restriction in p and q come from the estimation process of the parameters. You test ...
Only top voted, non community-wiki answers of a minimum length are eligible