Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes
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چکیده
We compare the probability distribution of returns for the three major stock-market indexes (Nasdaq, S&P500, and Dow-Jones) with an analytical formula recently derived by Drăgulescu and Yakovenko for the Heston model with stochastic variance. For the period of 1982–1999, we find a very good agreement between the theory and the data for a wide range of time lags from 1 to 250 days. On the other hand, deviations start to appear when the data for 2000–2002 are included. We interpret this as a statistical evidence of the major change in the market from a positive growth rate in 1980s and 1990s to a negative rate in 2000s.
منابع مشابه
Comparison between the probability distribution of returns in the Heston model and empirical data for stock indices
We compare the probability distribution of returns for the three major stock-market indices (Nasdaq, S&P500, and Dow-Jones) with an analytical formula recently derived by Drăgulescu and Yakovenko for the Heston model with stochastic variance. For the period of 1982–1999, we find a very good agreement between the theory and the data for a wide range of time lags from 1 to 250 days. On the other ...
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تاریخ انتشار 2002