Financial models with long-tailed distributions and volatility clustering

Financial models with long-tailed distributions and volatility clustering have been introduced to overcome problems with the realism of classical financial models. These classical models of financial time series typically assume homoskedasticity and normality and as such cannot explain stylized phenomena such as skewness, heavy tails, and volatility clustering of the empirical asset returns in finance.

Source: Wikipedia — Financial models with long-tailed distributions and volatility clustering (CC BY-SA 4.0)

Financial models with long-tailed distributions and volatility clustering

Financial models with long-tailed distributions and volatility clustering have been introduced to overcome problems with the realism of classical financial models. These classical models of financial time series typically assume homoskedasticity and normality and as such cannot explain stylized phenomena such as skewness, heavy tails, and volatility clustering of the empirical asset returns in finance.

This neuron ends here.

Source: Wikipedia "Financial models with long-tailed distributions and volatility clustering" · CC BY-SA 4.0

Share this article: X · Bluesky
Privacy Policy