| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7380697 | Physica A: Statistical Mechanics and its Applications | 2014 | 5 Pages |
Abstract
The ARCH and GARCH processes have been successfully used for modelling price dynamics such as stock returns or foreign exchange rates. Analysing the long range correlations between stocks, we propose a model, based on the GARCH process, which is able to describe the main characteristics of the stock price correlations, including the mean, variance, probability density distribution and the noise spectrum.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
G. Prat-Ortega, S.E. Savel'ev,