Volatility conditional on price trends

DOI10.1080/14697680903266730zbMath1203.91318arXivcond-mat/0501699OpenAlexW2082133377MaRDI QIDQ3564812

Gilles Zumbach

Publication date: 26 May 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0501699

zbMATH Keywords

long memoryvolatility forecastingARCH processtrend effect

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Related Items (5)

Quadratic Hawkes processes for financial prices ⋮ Volatility is (mostly) path-dependent ⋮ Finite-time stabilizing a fractional-order chaotic financial system with market confidence ⋮ The fine-structure of volatility feedback. I: Multi-scale self-reflexivity ⋮ The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Modelling the persistence of conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Heterogeneous volatility cascade in financial markets

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