Volatility is log-normal: But not for the reason you think

It is impossible to discriminate between the commonly used stochastic volatility models of Heston, log-normal, and 3-over-2 on the basis of exponentially weighted averages of daily returns-even though it appears so at first sight. However, with a 5-min sampling frequency, the models can be differentiated and empirical evidence overwhelmingly favours a fast mean-reverting log-normal model.

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Year of publication:	2018
Authors:	Tegnér, Martin ; Poulsen, Rolf
Published in:	Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 6.2018, 2, p. 1-16
Publisher:	Basel : MDPI
Subject:	volatility \| estimation \| Heston \| log-normal \| 3-over-2 \| fast mean-reversion

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/risks6020046 [DOI] 1025529480 [GVK] hdl:10419/195838 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10011996604