A contribution to the systematics of stochastic volatility models
A contribution to the systematics of stochastic volatility models
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DOI：
10.1016/j.physa.2010.03.044
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发表时间：
2010-08
影响因子：
3.3
通讯作者：
F. Slanina
中科院分区：
文献类型：
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作者：
F. Slanina
本文系统地比较了几类股票市场波动的随机波动率模型。我们发现，长期收益率分布是高斯或开发一个幂律尾，而短期收益率分布一般有一个拉伸指数的形式，但也可以假设一个代数衰减，在家庭的模型，我们称之为“Gestival”类型。在指数奥恩斯坦-乌伦贝克过程中发现了中间状态。我们还计算了波动率的自相关函数的衰减。
We systematically compare several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail, while the short-time return distribution has generically a stretched-exponential form, but can also assume an algebraic decay, in the family of models which we call “GARCH” type. The intermediate regime is found in the exponential Ornstein–Uhlenbeck process. We also calculate the decay of the autocorrelation function of volatility.