TY - JOUR
T1 - Volatility in financial markets: Stochastic models and empirical results
AU - Mantegna, Rosario Nunzio
AU - Bonanno, Giovanni
AU - Micciche', Salvatore
AU - Lillo, Fabrizio
AU - Miccichè, Salvatore
AU - Bonanno, Giovanni
AU - Lillo, Fabrizio
AU - Mantegna, Rosario N.
PY - 2002
Y1 - 2002
N2 - 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.
AB - 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.
KW - Econophysics
KW - Mathematical Physics
KW - Statistical and Nonlinear Physics
KW - Stochastic processes
KW - Volatility
KW - Econophysics
KW - Mathematical Physics
KW - Statistical and Nonlinear Physics
KW - Stochastic processes
KW - Volatility
UR - http://hdl.handle.net/10447/201963
M3 - Article
SN - 0378-4371
VL - 314
SP - 756
EP - 761
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
ER -