An assessment of the goodness of fit of a new stochastic model of stock dynamics is investigated. The model is the multifractional Brownian motion (mBm), introduced independently by Peltier and Levy Vehel (1995) [2] and Benassi (1997) [3]. The analysis concerns the (un)conditional distributions of log-variations of the Dow Jones Industrial Average (DJIA). By comparing the performance of mBm with respect to a Garch (1,1), we argue that the former captures the distributional features as well as the pathwise empirical ones displayed by the U.S. Dow Jones index, while the Garch (1,1) works better in global terms. (C) 2014 Elsevier Ltd. All rights reserved.
Goodness of fit assessment for a fractal model of stock markets / Frezza, M.. - In: CHAOS, SOLITONS AND FRACTALS. - ISSN 0960-0779. - 66:(2014), pp. 41-50. [10.1016/j.chaos.2014.05.005]
Goodness of fit assessment for a fractal model of stock markets
Frezza M.
2014
Abstract
An assessment of the goodness of fit of a new stochastic model of stock dynamics is investigated. The model is the multifractional Brownian motion (mBm), introduced independently by Peltier and Levy Vehel (1995) [2] and Benassi (1997) [3]. The analysis concerns the (un)conditional distributions of log-variations of the Dow Jones Industrial Average (DJIA). By comparing the performance of mBm with respect to a Garch (1,1), we argue that the former captures the distributional features as well as the pathwise empirical ones displayed by the U.S. Dow Jones index, while the Garch (1,1) works better in global terms. (C) 2014 Elsevier Ltd. All rights reserved.| File | Dimensione | Formato | |
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