A contribution to the systematics of stochastic volatility models
We compare systematically several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail, while the short-time return distribution has generically a stretched-exponential form, but can assume also an algebraic decay, in the family of models which we call ``GARCH''-type. The intermediate regime is found in the exponential Ornstein-Uhlenbeck process. We calculate also the decay of the autocorrelation function of volatility.
When requesting a correction, please mention this item's handle: RePEc:arx:papers:1009.2696. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)
If references are entirely missing, you can add them using this form.