Data and methods for A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data

Données et méthodes pour "A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data"

Antoine Lejay () and Paolo Pigato
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Antoine Lejay: TOSCA - TO Simulate and CAlibrate stochastic models - CRISAM - Inria Sophia Antipolis - Méditerranée - Inria - Institut National de Recherche en Informatique et en Automatique - IECL - Institut Élie Cartan de Lorraine - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique, IECL - Institut Élie Cartan de Lorraine - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique

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Abstract: This technical report presents the methodology and the numerical results for 21 stock prices under the assumption they follow a Drifted Geometric Oscillating Brownian motion model. Such a model takes leverage and mean-reversion effects into account. This report completes the article "A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data"

Keywords: Realized volatility estimator; Maximum likelihood; Financial Mathematics; geometric Oscillating Brownian motion; mean-reversion; leverage effect; Maximum de vraisemblance; retour à la moyenne; estimateur de la volatilité réalisée; effet de levier; Mouvement brownien géométrique oscillant; estimateur de levier; mathématiques financières (search for similar items in EconPapers)
Date: 2017-12-20
New Economics Papers: this item is included in nep-ets
Note: View the original document on HAL open archive server: https://inria.hal.science/hal-01668975v3
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Citations: View citations in EconPapers (5)

Published in [Technical Report] RT-0494, Inria Nancy - Grand Est; Weierstrass Institute. 2017, pp.1-24

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