Correlated squared returns

<p style='text-indent:20px;'>Joint densities for a sequential pair of returns with weak autocorrelation and strong correlation in squared are formulated. The marginal return either variance gamma or bilateral gamma. Two-dimensional matching empirical characteristic functions to its theoretical counterpart is employed dependency parameter estimation. Estimations reported 3920 daily sequences one thousand days. Path simulation done using conditional distribution functions. paths display levels decay rates the function that comparable these magnitudes data. Regressions log at different time points used estimate scaling coefficients. coefficients on correlations support view slows rate passage economic time. An analysis financial markets 2020 comparison 2019 displays post-COVID slowdown markets.</p>