We express the realized volatility in terms of the Hurst exponent of the trajectory drawn by the market index. By analyzing distribution, stationarity, and (partial) sample autocorrelation of the estimated paths, and exploiting the empirical law of return to the central value 1/2, we model the dynamics of H(t) (and hence of the volatility) through a fractional Brownian bridge of appropriate parameter H.
Modelling H-Volatility with Fractional Brownian Bridge
Augusto Pianese;Anna Maria Palazzo
2022-01-01
Abstract
We express the realized volatility in terms of the Hurst exponent of the trajectory drawn by the market index. By analyzing distribution, stationarity, and (partial) sample autocorrelation of the estimated paths, and exploiting the empirical law of return to the central value 1/2, we model the dynamics of H(t) (and hence of the volatility) through a fractional Brownian bridge of appropriate parameter H.File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
Estratto MAF2022.pdf
solo utenti autorizzati
Descrizione: Contributo in volume
Tipologia:
Versione Editoriale (PDF)
Licenza:
Copyright dell'editore
Dimensione
1.04 MB
Formato
Adobe PDF
|
1.04 MB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
