We study the roughness of the log-volatility process by testing the self-similarity of the process obtained by the de-Lampertized realized volatility. The value added of our analysis rests on the application of a distribution-based estimator providing results which are more robust with respect to those deduced by the scaling of the individual moments of the process. Our findings confirm the roughness of the log-volatility process.
Rough volatility via the Lamperti transform / Bianchi, Sergio; Angelini, Daniele; Pianese, Augusto; Frezza, Massimiliano. - In: COMMUNICATIONS IN NONLINEAR SCIENCE & NUMERICAL SIMULATION. - ISSN 1007-5704. - 127(2023). [10.1016/j.cnsns.2023.107582]
Rough volatility via the Lamperti transform
Sergio Bianchi
Primo
;Daniele Angelini;Massimiliano Frezza
2023
Abstract
We study the roughness of the log-volatility process by testing the self-similarity of the process obtained by the de-Lampertized realized volatility. The value added of our analysis rests on the application of a distribution-based estimator providing results which are more robust with respect to those deduced by the scaling of the individual moments of the process. Our findings confirm the roughness of the log-volatility process.| File | Dimensione | Formato | |
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