Volatility Models: from GARCH to Multi-Horizon Cascades

Alexander Subbotin (alexander.subbotin@altran.com), Thierry Chauveau (thierry.chauveau@univ-paris1.fr) and Kateryna Shapovalova (kateryna.shapovalova@univ-paris1.fr)
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Alexander Subbotin: Centre d'Economie de la Sorbonne et Higher School of Economics, https://centredeconomiesorbonne.cnrs.fr
Thierry Chauveau: Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.cnrs.fr
Kateryna Shapovalova: Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.cnrs.fr

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: We overview different methods of modeling volatility of stock prices and exchange rates, focusing on their ability to reproduce the empirical properties in the corresponding time series. The properties of price fluctuations vary across the time scales of observation. The adequacy of different models for describing price dynamics at several time horizons simultaneously is the central topic of this study. We propose a detailed survey of recent volatility models, accounting for multiple horizons. These models are based on different and sometimes competing theoretical concepts. They belong either to GARCH or stochastic volatility model families and often borrow methodological tools from statistical physics. We compare their properties and comment on their pratical usefulness and perspectives

Keywords: Volatility modeling; GARCH; stochastic volatility; volatility cascade; multiple horizons in volatility (search for similar items in EconPapers)
JEL-codes: C13 G10 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2009-05
New Economics Papers: this item is included in nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:09036

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