Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
976795 | Physica A: Statistical Mechanics and its Applications | 2007 | 13 Pages |
Abstract
This paper extends research by Batten and Ellis [Econ. Lett. 72 (2001) 291] to propose a simple model of scale-adjusted volatility which measures the extent to which the Gaussian scaling law mis-estimates long-horizon volatility. Applied to the Dow Jones industrial average, the results of our model show a dramatic improvement over the Gaussian scaling law in predicting long-horizon volatility. Our model provides a general framework for estimating scaled volatility that may be also applied to other fields of study where the Hurst exponent is commonly used.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Craig Ellis, Christopher Hudson,