FORECASTING VOLATILITY WITH THE MULTIFRACTAL RANDOM WALK MODEL

被引：29

作者：

Duchon, Jean ^{[2
]}

Robert, Raoul ^{[2
]}

Vargas, Vincent ^{[1
]}

机构：

[1] Univ Paris 09, CEREMADE, F-75016 Paris, France

[2] Univ Grenoble, Inst Fourier, Grenoble, France

来源：

MATHEMATICAL FINANCE | 2012年 / 22卷 / 01期

关键词：

random measures; Gaussian processes; prediction theory; multifractal processes;

D O I：

10.1111/j.1467-9965.2010.00458.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study the problem of forecasting volatility for the multifractal random walk model. In order to avoid the ill-posed problem of estimating the correlation length T of the model, we introduce a limiting object defined in a quotient space; formally, this object is an infinite range log volatility. For this object and the nonlimiting object, we obtain precise prediction formulas and we apply them to the problem of forecasting volatility and pricing options with the MRW model in the absence of a reliable estimate of s and T.

引用

页码：83 / 108

页数：26

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