We investigate the historical volatility of the 100 most capitalized stocks traded in US equity markets. An empirical probability density function (pdf) of volatility is obtained and compared with the theoretical predictions of a lognormal model and of the Hull and White model. The lognormal model well describes the pdf in the region of low values of volatility whereas the Hull and White model better approximates the empirical pdf for large values of volatility. Both models fail in describing the empirical pdf over a moderately large volatility range. © 2002 Elsevier Science B.V. All rights reserved.

Miccichè, S., Bonanno, G., Lillo, F., Mantegna, R. (2002). Volatility in financial markets: Stochastic models and empirical results. PHYSICA. A, 314(1-4), 756-761 [10.1016/S0378-4371(02)01187-1].

Volatility in financial markets: Stochastic models and empirical results

MICCICHE', Salvatore;BONANNO, Giovanni;LILLO, Fabrizio;MANTEGNA, Rosario Nunzio
2002-01-01

Abstract

We investigate the historical volatility of the 100 most capitalized stocks traded in US equity markets. An empirical probability density function (pdf) of volatility is obtained and compared with the theoretical predictions of a lognormal model and of the Hull and White model. The lognormal model well describes the pdf in the region of low values of volatility whereas the Hull and White model better approximates the empirical pdf for large values of volatility. Both models fail in describing the empirical pdf over a moderately large volatility range. © 2002 Elsevier Science B.V. All rights reserved.
2002
Settore FIS/07 - Fisica Applicata(Beni Culturali, Ambientali, Biol.e Medicin)
Miccichè, S., Bonanno, G., Lillo, F., Mantegna, R. (2002). Volatility in financial markets: Stochastic models and empirical results. PHYSICA. A, 314(1-4), 756-761 [10.1016/S0378-4371(02)01187-1].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10447/201963
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