Arbeitspapier
A Minimal Model of Financial Stylized Facts
In this work we afford the statistical characterization of a linear Stochastic Volatility Model featuring Inverse Gamma stationary distribution for the high frequency volatility. We detail the derivation of the moments of the return distribution, revealing the role of the Inverse Gamma law in the emergence of fat tails, and of the relevant correlation functions. We also propose a systematic methodology for estimating the parameters, and we describe the empirical analysis of the Standard & Poor 500 index daily returns, confirming the ability of the model to capture many of the established stylized fact as well as the scaling properties of empirical distributions over different time horizons.
- Sprache
-
Englisch
- Erschienen in
-
Series: Quaderni di Dipartimento ; No. 128
Klassifikation
Wirtschaft
Ereignis
Geistige Schöpfung
(wer)
Delpini, Danilo
Bormetti, Giacomo
Bormetti, Giacomo
Ereignis
Veröffentlichung
(wer)
Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ)
(wo)
Pavia
(wann)
2010
- Handle
- Letzte Aktualisierung
-
12.07.2024, 13:22 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Delpini, Danilo
- Bormetti, Giacomo
- Università degli Studi di Pavia, Dipartimento di Economia Politica e Metodi Quantitativi (EPMQ)
Entstanden
- 2010
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