Physics – Condensed Matter – Statistical Mechanics
Scientific paper
2002-02-28
Physica A, 314, 756-761, (2002)
Physics
Condensed Matter
Statistical Mechanics
6 pages, 2 figures
Scientific paper
10.1016/S0378-4371(02)01187-1
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 fails in describing the empirical pdf over a moderately large volatility range.
Bonanno Giovanni
Lillo Fabrizio
Mantegna Rosario Nunzio
Micciche' Salvatore
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