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Stochastic GARCH dynamics describing correlations between stocks

journal contribution
posted on 19.08.2015 by G. Prat-Ortega, Sergey Saveliev
The ARCH and GARCH processes have been successfully used for modelling price dynamics such as stock returns or foreign exchange rates. Analysing the long range correlations between stocks, we propose a model, based on the GARCH process, which is able to describe the main characteristics of the stock price correlations, including the mean, variance, probability density distribution and the noise spectrum.

Funding

The second author acknowledges support from the Leverhulme foundation.

History

School

  • Science

Department

  • Physics

Published in

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

Volume

410

Pages

623 - 627 (5)

Citation

PRAT-ORTEGA, G. and SAVEL'EV, S., 2014. Stochastic GARCH dynamics describing correlations between stocks. Physica A - Statistical Mechanics and Its Applications, 410, pp. 623 - 627.

Publisher

© Elsevier B.V.

Version

VoR (Version of Record)

Publisher statement

This work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/

Publication date

2014

Notes

This article is closed access.

ISSN

0378-4371

Language

en

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