A contribution to the systematics of stochastic volatility models

Frantisek Slanina

Papers from arXiv.org

Abstract: We compare systematically 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 assume also 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 calculate also the decay of the autocorrelation function of volatility.

Date: 2010-09
New Economics Papers: this item is included in nep-ets and nep-rmg
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Published in Physica A, 389 (2010) 3230-3239

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1009.2696

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