The fine-structure of volatility feedback I: Multi-scale self-reflexivity

We attempt to unveil the fine structure of volatility feedback effects in the context of general quadratic autoregressive (QARCH) models, which assume that today’s volatility can be expressed as a general quadratic form of the past daily returns. The standard ARCH or GARCH framework is recovered whe...

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Veröffentlicht in:	Physica A 2014-09, Vol.410, p.174-195
Hauptverfasser:	Chicheportiche, Rémy, Bouchaud, Jean-Philippe
Format:	Artikel
Sprache:	eng
Schlagworte:	Arches Decay Endogenous feedback Feedback Fine structure GARCH models General Finance Kernels Mathematical models Quadratic forms Quantitative Finance Statistical Finance Stock markets Time reversal invariance Volatility Volatility dynamics
Online-Zugang:	Volltext
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