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Stochastic GARCH dynamics describing correlations between stocks
journal contributionposted on 19.08.2015 by G. Prat-Ortega, Sergey Saveliev
Any type of content formally published in an academic journal, usually following a peer-review process.
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.
The second author acknowledges support from the Leverhulme foundation.