Persistent and rough volatility

• Main Authors: LIU, Xiaobin, SHI, Shuping, Jun YU
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2020
• Subjects: Fractional Brownian motion; stochastic volatility; memory signature plot; long memory; asymptotic; variance-covariance matrix; rough volatility; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2410; https://ink.library.smu.edu.sg/context/soe_research/article/3409/viewcontent/StochasticVolatility38_.pdf
• Institution: Singapore Management University

This paper contributes to an ongoing debate on volatility dynamics. We introduce a discrete-time fractional stochastic volatility (FSV) model based on the fractional Gaussian noise. The new model has the same limit as the fractional integrated stochastic volatility (FISV) model under the in-fill asym...