Sentence examples for volatility process from inspiring English sources

These models introduce discontinuities, or jumps, into the volatility process.

Proposed models differ in terms of both the dynamics of the conditional volatility process and the forecasting capabilities compared to a family of GARCH models.

This paper introduces a new long memory volatility process, denoted by adaptive FIGARCH, or A-FIGARCH, which is designed to account for both long memory and structural change in the conditional variance process.

It defines different volatility concepts; the notional volatility corresponding to the sample-path return variability over a fixed time interval; the expected volatility over a fixed time interval; and the instantaneous volatility corresponding to the strength of the volatility process at a point in time.

In case of the BUX returns we found that PGARCH 1,1) model with Student's errors can be appropriate representative of the asymmetric conditional volatility process in both pre-crisis and crisis or post-crisis periods.

He showed that for the given parameter values related to the Heston volatility process, there exists a that ensures the equivalence of the two models by minimizing the gap between the generated prices.

In this article, we deal with a multiple dimensional coupled Markovian BSDEs system with stochastic linear growth generators with respect to volatility processes.

Adaptive time scales are determined from a function between time scales and volatilities of process variables.

The simplest model for a MRP is: d Y t = η Y ¯ − Y t dt + σd B t (10 where Y t is the natural logarithm of the price in order to avoid negative prices, η measures the speed of reversal as price deviates from the mean value, σ is the volatility of the process and dB t is the increment of a Wiener process.

By speaking up online, investors appear to speed up the formation of market consensus and the resulting price adjustment, minimizing price volatility in the process.

For example, the seminal case of the Black-Scholes-Merton model, and its many extensions such as stochastic volatility, pure jump processes and collateral funding, is built around the No-Arbitrage assumption and assumes as given the evolution of the stock price in order to find the prices of derivative securities.