Univariate and multivariate statistical aspects of equity volatility

  • Salvatore Miccichè
  • Fabrizio Lillo
  • Giovanni Bonanno
  • Rosario N. Mantegna
Conference paper

Abstract

We discuss univariate and multivariate statistical properties of volatility time series of equities traded in a financial market. Specifically, (i) we introduce a two-region stochastic volatility model able to well describe the unconditional pdf of volatility in a wide range of values and (ii) we quantify the stability of the results of a correlation-based clustering procedure applied to synchronous time evolution of a set of volatility time series.

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Copyright information

© Springer Japan 2004

Authors and Affiliations

  • Salvatore Miccichè
    • 1
    • 2
  • Fabrizio Lillo
    • 1
    • 2
  • Giovanni Bonanno
    • 1
    • 2
  • Rosario N. Mantegna
    • 1
    • 2
  1. 1.Istituto Nazionale per la Fisica della MateriaUnità di Palermo, Viale delle ScienzePalermoItalia
  2. 2.Dipartimento di Fisica e Tecnologie RelativeUniversità di Palermo, Viale delle ScienzePalermoItalia

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