Combined Mutiplicative-Heston Model for Stochastic Volatility
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arXiv
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| Format: | Preprint |
| Published: |
2018
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| _version_ | 1866929312314163200 |
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| author | Moghaddam, M. Dashti Serota, R. A. |
| author_facet | Moghaddam, M. Dashti Serota, R. A. |
| contents | We consider a model of stochastic volatility which combines features of the multiplicative model for large volatilities and of the Heston model for small volatilities. The steady-state distribution in this model is a Beta Prime and is characterized by the power-law behavior at both large and small volatilities. We discuss the reasoning behind using this model as well as consequences for our recent analyses of distributions of stock returns and realized volatility. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1807_10793 |
| institution | arXiv |
| publishDate | 2018 |
| record_format | arxiv |
| spellingShingle | Combined Mutiplicative-Heston Model for Stochastic Volatility Moghaddam, M. Dashti Serota, R. A. Mathematical Finance Statistical Finance We consider a model of stochastic volatility which combines features of the multiplicative model for large volatilities and of the Heston model for small volatilities. The steady-state distribution in this model is a Beta Prime and is characterized by the power-law behavior at both large and small volatilities. We discuss the reasoning behind using this model as well as consequences for our recent analyses of distributions of stock returns and realized volatility. |
| title | Combined Mutiplicative-Heston Model for Stochastic Volatility |
| topic | Mathematical Finance Statistical Finance |
| url | https://arxiv.org/abs/1807.10793 |