STATISTICAL DECOMPOSITION OF VOLATILITY

摘要

In this paper we propose a new approach to evaluating and analyzing the volatility of financial indices, in particular, stock prices. This approach is based on a multidimensional interpretation of the volatility of one-dimensional processes. The foundation of this approach is a model based on the limit theorems for compound doubly stochastic Poisson processes, in which the distributions of the increments of financial index logarithms are represented in the form of mixtures of normal laws.