A comparison between several correlated stochastic volatility models

Josep Perelló, Jaume Masoliver and Napoleón Anento

Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 1, 134-137

Abstract: We compare the most common stochastic volatility models such as the Ornstein–Uhlenbeck (OU), the Heston and the exponential OU models. We try to decide which is the most appropriate one by studying their volatility autocorrelation and leverage effect, and thus outline the limitations of each model. We add empirical research on market indices confirming the universality of the leverage and volatility correlations.

Keywords: Volatility autocorrelation; Leverage; Stochastic volatility models (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:1:p:134-137

DOI: 10.1016/j.physa.2004.06.103

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