HISTORICAL VOLATILITY DISTRIBUTION IN GAUSSIAN AND GARCH(1,1) MODELS

Lutz Molgedey ()
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Lutz Molgedey: Humboldt University Berlin, Invalidenstr. 110, 10115 Berlin, Germany

International Journal of Theoretical and Applied Finance (IJTAF), 2000, vol. 03, issue 03, 417-417

Abstract: On experimental data the historical volatility is usually calculated by averaging the local variance (or its generalizations) over a finite time window. Already in the case of a constant volatility in the Gaussian model the resulting historical volatility is non-Gaussian distributed. We will calculate historical volatility distributions in the Gaussian and GARCH(1,1) model for different time window sizes and compare them with those obtained from the S&P500 data [1].

Keywords: Volatility; distributions (search for similar items in EconPapers)
Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:03:y:2000:i:03:n:s0219024900000309

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DOI: 10.1142/S0219024900000309

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