FUTURES PRICING BASED ON STABLE CARMA-COGARCH STOCHASTIC MODELS

‎A non-stationary independent increments process for the low-frequency dynamics‎, ‎was introduced in the literature to model the large‎ ‎fluctuations of futures prices by‎ ‎a non-Gaussian stable CARMA process‎. ‎The volatility of that models are assumed to be constant while the practical data may have stochastic volatility‎. ‎One of the most efficient model that be considered as a stochastic volatility to analysis financial data is a continuous time GARCH (COGARCH) process driven by a pure jump \levy\ process‎. ‎Here‎, ‎by considering an empirical and theoretical risk premiums of a non-Gaussian stable CARMA process with a COGARCH process as its volatility‎, ‎we analysis future prices in an electricity market‎.