A Scientific Classification of Volatility Models
Modeling volatility, or “predictable changes” over time and space in a variable, is crucial in the natural and social sciences. Life can be volatile, and anything that matters, and which changes over time and space, involves volatility. Without volatility, many temporal and spatial variables would simply be constants. Our purpose is to propose a scientific classification of the alternative volatility models and approaches that are available in the literature, following the Linnaean taxonomy. This scientific classification is used because the literature has evolved as a living organism, with the birth of numerous new species of models.
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Textos para discussão
531 Publication status: F, Department of Economics PUC-Rio (Brazil).
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ISER Discussion Paper
0549, Institute of Social and Economic Research, Osaka University.
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