کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1140293 1489434 2008 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Estimation of stochastic volatility with LRD
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
Estimation of stochastic volatility with LRD
چکیده انگلیسی

Understanding the behaviour of market prices is not simple. Stock market prices tend to have complicated distributions with strong skewness and fat tails. One important step in forecasting tomorrow’s price is to estimate the volatility, i.e. how much tomorrow’s price is expected to differ from today’s price. In this paper the volatility is assumed to be a lognormal random process and in addition, it may display long-range dependence (LRD). The aim is to obtain the estimates of the mean, standard deviation and LRD parameter of the volatility process of the S&P 500.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 78, Issues 2–3, July 2008, Pages 335–340
نویسندگان
,