Volatility in Financial Markets: Stochastic Models and Empirical Results
Statistical Mechanics
2009-11-07 v1 Statistical Finance
Abstract
We investigate the historical volatility of the 100 most capitalized stocks traded in US equity markets. An empirical probability density function (pdf) of volatility is obtained and compared with the theoretical predictions of a lognormal model and of the Hull and White model. The lognormal model well describes the pdf in the region of low values of volatility whereas the Hull and White model better approximates the empirical pdf for large values of volatility. Both models fails in describing the empirical pdf over a moderately large volatility range.
Cite
@article{arxiv.cond-mat/0202527,
title = {Volatility in Financial Markets: Stochastic Models and Empirical Results},
author = {Salvatore Micciche` and Giovanni Bonanno and Fabrizio Lillo and Rosario N. Mantegna},
journal= {arXiv preprint arXiv:cond-mat/0202527},
year = {2009}
}
Comments
6 pages, 2 figures