A Mixed Modified Fractional Stochastic Volatility models with application to DSX market Data

Eric Djeutcha and Jules Sadefo Kamdem ()
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Eric Djeutcha: UN - Université de Ngaoundéré/University of Ngaoundéré [Cameroun]
Jules Sadefo Kamdem: MRE - Montpellier Recherche en Economie - UM - Université de Montpellier

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Abstract: The aim of this paper is to present a new option pricing model for the financial market, named MMFSV for Mixed Modified Fractional Stochastic Volatility. We use this model to estimate the underlying price and the volatility of the DSX 15M index. The first step is to estimate the parameters of the MMFSV model and reconstruct historical volatility based on the number of observations in 2018. The Matlab program is used to generate stock prices and volatility. The second step is to compare the generated prices to real prices to determine if the model can capture the dynamics of the underlying assets and the volatility of the stocks. The results show that the difference between realized volatility and that generated by the MMFSV model is not very significant and that the MMFSV model can predict the volatility of DSX 15M.

Date: 2025
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Published in Computational Economics, In press

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05061291

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