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ROSARIO NUNZIO MANTEGNA

Volatility in financial markets: Stochastic models and empirical results

  • Autori: Micciche', S.; Bonanno, G.; Lillo, F.; Mantegna, R.
  • Anno di pubblicazione: 2002
  • Tipologia: Articolo in rivista (Articolo in rivista)
  • Parole Chiave: Econophysics; Stochastic processes; Volatility; Mathematical Physics; Statistical and Nonlinear Physics

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 fail in describing the empirical pdf over a moderately large volatility range. © 2002 Elsevier Science B.V. All rights reserved.

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