Volatility in financial markets: stochastic models and empirical results

Salvatore Miccichè, Giovanni Bonanno, Fabrizio Lillo and Rosario Mantegna

Physica A: Statistical Mechanics and its Applications, 2002, vol. 314, issue 1, 756-761

Abstract: We investigate the historical volatility of the 100 most capitalized stocks traded in US equity markets. An empirical probability density function (pdf) of volatility is obtained and compared with the theoretical predictions of a lognormal model and of the Hull and White model. The lognormal model well describes the pdf in the region of low values of volatility whereas the Hull and White model better approximates the empirical pdf for large values of volatility. Both models fail in describing the empirical pdf over a moderately large volatility range.

Keywords: Econophysics; Stochastic processes; Volatility (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (32)

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Related works:
Working Paper: Volatility in Financial Markets: Stochastic Models and Empirical Results (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:314:y:2002:i:1:p:756-761

DOI: 10.1016/S0378-4371(02)01187-1

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