We express the realized volatility in terms of the Hurst exponent of the trajectory drawn by the market index. By analyzing distribution, stationarity, and (partial) sample autocorrelation of the estimated paths, and exploiting the empirical law of return to the central value 1/2, we model the dynamics of H(t) (and hence of the volatility) through a fractional Brownian bridge of appropriate parameter H.
Modelling H-Volatility with Fractional Brownian Bridge / Bianchi, Sergio; Frezza, Massimiliano; Pianese, Augusto; Palazzo Anna, Maria. - (2022), pp. 96-102. [10.1007/978-3-030-99638-3].
Modelling H-Volatility with Fractional Brownian Bridge
Bianchi Sergio;Frezza Massimiliano
;
2022
Abstract
We express the realized volatility in terms of the Hurst exponent of the trajectory drawn by the market index. By analyzing distribution, stationarity, and (partial) sample autocorrelation of the estimated paths, and exploiting the empirical law of return to the central value 1/2, we model the dynamics of H(t) (and hence of the volatility) through a fractional Brownian bridge of appropriate parameter H.File allegati a questo prodotto
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