Stochastic GARCH dynamics describing correlations between stocks
journal contribution
posted on 2015-08-19, 15:36 authored by G. Prat-Ortega, Sergey SavelievSergey SavelievThe 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 APPLICATIONSVolume
410Pages
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
2014Notes
This article is closed access.ISSN
0378-4371Publisher version
Language
- en
