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Rough Volatility: Fact or Artefact?

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  • Rama Cont

    (University of Oxford)

  • Purba Das

    (King’s College London)

Abstract

We investigate the statistical evidence for the use of ‘rough’ fractional processes with Hurst exponent $$H

Suggested Citation

  • Rama Cont & Purba Das, 2024. "Rough Volatility: Fact or Artefact?," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 86(1), pages 191-223, May.
    • Handle: RePEc:spr:sankhb:v:86:y:2024:i:1:d:10.1007_s13571-024-00322-2
    DOI: 10.1007/s13571-024-00322-2
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    References listed on IDEAS

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    1. Mikkel Bennedsen & Asger Lunde & Mikko S Pakkanen, 2022. "Decoupling the Short- and Long-Term Behavior of Stochastic Volatility [Multifactor Approximation of Rough Volatility Models]," Journal of Financial Econometrics, Oxford University Press, vol. 20(5), pages 961-1006.
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    5. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003. "Modeling and Forecasting Realized Volatility," Econometrica, Econometric Society, vol. 71(2), pages 579-625, March.
    6. Bolko, Anine E. & Christensen, Kim & Pakkanen, Mikko S. & Veliyev, Bezirgen, 2023. "A GMM approach to estimate the roughness of stochastic volatility," Journal of Econometrics, Elsevier, vol. 235(2), pages 745-778.
    7. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
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    9. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July.
    10. Lahiri, Ananya & Sen, Rituparna, 2020. "Fractional Brownian markets with time-varying volatility and high-frequency data," Econometrics and Statistics, Elsevier, vol. 16(C), pages 91-107.
    11. Rama Cont, 2007. "Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models," Springer Books, in: Gilles Teyssière & Alan P. Kirman (ed.), Long Memory in Economics, pages 289-309, Springer.
    12. Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv.
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    Cited by:

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    3. Takaishi, Tetsuya, 2025. "Multifractality and sample size influence on Bitcoin volatility patterns," Finance Research Letters, Elsevier, vol. 74(C).
    4. Carsten H. Chong & Viktor Todorov, 2024. "A nonparametric test for rough volatility," Papers 2407.10659, arXiv.org.
    5. Ulrich Horst & Wei Xu & Rouyi Zhang, 2024. "Path-dependent Fractional Volterra Equations and the Microstructure of Rough Volatility Models driven by Poisson Random Measures," Papers 2412.16436, arXiv.org.
    6. Xiyue Han & Alexander Schied, 2025. "On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models," Papers 2504.09276, arXiv.org.
    7. Tim Leung & Theodore Zhao, 2024. "A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Prices," Mathematics, MDPI, vol. 12(6), pages 1-21, March.
    8. Orson Mengara, 2024. "Trading Devil Final: Backdoor attack via Stock market and Bayesian Optimization," Papers 2407.14573, arXiv.org, revised Apr 2025.

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