期刊
CHAOS SOLITONS & FRACTALS
卷 172, 期 -, 页码 -出版社
PERGAMON-ELSEVIER SCIENCE LTD
DOI: 10.1016/j.chaos.2023.113550
关键词
Rough volatility; Fractional Ornstein-Uhlenbeck process; Multifractional process with random exponent; Hurst-Holder exponent
A Multifractional Process with Random Exponent (MPRE) is used to simulate the dynamics of log-prices in a financial market. It is shown that the Hurst-Holder exponent of the MPRE follows the fractional Ornstein-Uhlenbeck process, which describes the dynamics of the log-volatility in the Fractional Stochastic Volatility Model. Evidence is provided to demonstrate that estimation biases can generate artificial rough volatility in both surrogated and real financial data.
A Multifractional Process with Random Exponent (MPRE) is used to model the dynamics of log-prices in a financial market. Under this assumption, we show that the Hurst-Holder exponent of the MPRE follows the fractional Ornstein-Uhlenbeck process which in the Fractional Stochastic Volatility Model of Comte and Renault (1998) describes the dynamics of the log-volatility. We provide evidence that several biases of the estimation procedures can generate artificial rough volatility in surrogated as well as real financial data.
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