Volatility is log-normal -- but not for the reason you think
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Dokumenter
- Volatility Is Log-Normal—But Not for the Reason You Think
Forlagets udgivne version, 1,09 MB, PDF-dokument
It is impossible to discriminate between the commonly used stochastic volatility models of Heston, log-normal, and 3-over-2 on the basis of exponentially weighted averages of daily returns—even though it appears so at first sight. However, with a 5-min sampling frequency, the models can be differentiated and empirical evidence overwhelmingly favours a fast mean-reverting log-normal model.
Originalsprog | Engelsk |
---|---|
Artikelnummer | 46 |
Tidsskrift | Risks |
Vol/bind | 6 |
Udgave nummer | 2 |
Antal sider | 16 |
ISSN | 2227-9091 |
DOI | |
Status | Udgivet - jun. 2018 |
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ID: 201613463