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Financial Volatility and Independent and Identically Distributed Variables

Author

Listed:
  • Annibal Figueiredo
  • Iram Gleria
  • Raul Matsushita
  • Sergio Da Silva

Abstract

Given that financial series are poorly described by Gaussian distributions, how can the volatility behavior of such series be explained? Here we put forward a possible explanation to add the existing ones. We focus on a class of reduced variables that are independent and identically distributed. These variables together with an extra exponential law are able to explain the volatility of the intraday Brazilian real-US dollar exchange rate for the year 2002.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Annibal Figueiredo & Iram Gleria & Raul Matsushita & Sergio Da Silva, 2004. "Financial Volatility and Independent and Identically Distributed Variables," Finance 0407011, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0407011
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    References listed on IDEAS

    as
    1. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
    2. repec:hum:wpaper:sfb649dp2005-008 is not listed on IDEAS
    3. Yanhui Liu & Parameswaran Gopikrishnan & Pierre Cizeau & Martin Meyer & Chung-Kang Peng & H. Eugene Stanley, 1999. "The statistical properties of the volatility of price fluctuations," Papers cond-mat/9903369, arXiv.org, revised Mar 1999.
    4. Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2004. "Lévy flights, autocorrelation, and slow convergence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(3), pages 369-383.
    5. Rafał Weron, 2001. "Levy-Stable Distributions Revisited: Tail Index> 2does Not Exclude The Levy-Stable Regime," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 209-223.
    6. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," The Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 41-66.
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    2. Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2006. "Characteristic function approach to the sum of stochastic variables," MPRA Paper 1984, University Library of Munich, Germany.

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