About: Non-stationary volatility with highly anti-persistent increments: An alternative paradigm in volatility modeling?

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://mme2012.opf.slu.cz/proceedings/proceedings.php
Description	We introduce the alternative paradigm to volatility modeling. On the example of three stocks of highly capitalized companies, we show that volatility process is non-stationary and its logarithmic transformation together with the logarithmic increments are approximately normally distributed while the latter are strongly anti-persistent. Together with the assertion that loga- rithmic returns are normally distributed, and uncorrelated with time-varying volatility, we propose the new returns-generating process, which is able to re- markably mimic the real-world series and the standard stylized facts - uncor- related returns with heavy tails, strongly autocorrelated absolute returns and volatility clustering. The proposed methodology opens a wholly new field in research of financial volatility. We introduce the alternative paradigm to volatility modeling. On the example of three stocks of highly capitalized companies, we show that volatility process is non-stationary and its logarithmic transformation together with the logarithmic increments are approximately normally distributed while the latter are strongly anti-persistent. Together with the assertion that loga- rithmic returns are normally distributed, and uncorrelated with time-varying volatility, we propose the new returns-generating process, which is able to re- markably mimic the real-world series and the standard stylized facts - uncor- related returns with heavy tails, strongly autocorrelated absolute returns and volatility clustering. The proposed methodology opens a wholly new field in research of financial volatility. (en)
Title	Non-stationary volatility with highly anti-persistent increments: An alternative paradigm in volatility modeling? Non-stationary volatility with highly anti-persistent increments: An alternative paradigm in volatility modeling? (en)
skos:prefLabel	Non-stationary volatility with highly anti-persistent increments: An alternative paradigm in volatility modeling? Non-stationary volatility with highly anti-persistent increments: An alternative paradigm in volatility modeling? (en)
skos:notation	RIV/00216208:11230/12:10124470!RIV13-MSM-11230___
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...vai/riv/dodaniDat	2013
http://linked.open...aciTvurceVysledku	Krištoufek, Ladislav
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Fakulta sociálních věd
http://linked.open...dnocenehoVysledku	154438
http://linked.open...ai/riv/idVysledku	RIV/00216208:11230/12:10124470
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	non-stationarity; anti-persistence; volatility (en)
http://linked.open.../riv/klicoveSlovo	volatility anti-persistence non-stationarity
http://linked.open...ontrolniKodProRIV	[34D10349889B]
http://linked.open...v/mistoKonaniAkce	Karviná
http://linked.open...i/riv/mistoVydani	Karviná
http://linked.open...i/riv/nazevZdroje	Proceedings of 30th International Conference Mathematical Methods in Economics
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...UplatneniVysledku	2012
http://linked.open...iv/tvurceVysledku	Krištoufek, Ladislav
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2012-09-11 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Slezská univerzita v Opavě
https://schema.org/isbn	978-80-7248-779-0
http://localhost/t...ganizacniJednotka	11230

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