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MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
Abstract
Diffusion models for volatility have been used to price options while ARCH models predominate in descriptive studies of asset volatility. This paper compares a discrete‐time approximation of a popular diffusion model with ARCH models. These volatility models have many siimilarities but the models make different assumptions about how the magnitude of price responses to information alters volatility and the amount of subsequent information. Several volatility models are estimated for daily DM/ exchange rates from 1978 to 1990.
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Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Simple technical trading rules and the stochastic properties of stock returns
BROCK, W., LAKONISHOK, J., & LeBARON, B. (1992) · The Journal of Finance · doi:10.1111/j.1540-6261.1992.tb04681.x · Cited by 2,301
Cited by
Fractionally integrated generalized autoregressive conditional heteroskedasticity
Baillie, R. T., Bollerslev, T., & Mikkelsen, H. O. (1996) · Journal of Econometrics · doi:10.1016/s0304-4076(95)01749-6 · Cited by 2,287
Risk and Volatility: Econometric Models and Financial Practice
Engle, R. (2004) · American Economic Review · doi:10.1257/0002828041464597 · Cited by 554
Du, X., Yu, C. L., & Hayes, D. J. (2011) · Energy Economics · doi:10.1016/j.eneco.2010.12.015 · Cited by 549
Maximum likelihood estimation of stochastic volatility models
Aït-Sahalia, Y., & Kimmel, R. (2007) · Journal of Financial Economics · doi:10.1016/j.jfineco.2005.10.006 · Cited by 538
Fleming, J., Kirby, C., & Ostdiek, B. (1998) · Journal of Financial Economics · doi:10.1016/s0304-405x(98)00019-1 · Cited by 434
Metadata
- Authors
- Taylor, S. J.
- Venue
- Mathematical Finance
- Publisher
- Wiley
- Published
- 1994-04
- Volume
- 4
- Issue
- 2
- Pages
- 183-204
- ISSN
- 0960-1627 (ISSN-L)
- 1467-9965
- OpenAlex
- W2001772055
- Cited by
- 645
- References
- 2
- FWCI
- 23.92
- Type
- journal article
- Language
- en
- Open access
- closed
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- Taylor, S. J. (1994). MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY. Mathematical Finance. https://doi.org/10.1111/j.1467-9965.1994.tb00057.x
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
