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This article is cited in 1 scientific paper (total in 1 paper)
The description of the Russian stock market within the Heston model
G. L. Buchbinder, K. M. Chistilin Omsk State University
Abstract:
The Heston model is applied for the description of the Russian stock market. Within this model a dynamics of a financial asset is considered as a geometrical Brownian motion with stochastic volatility. Its shown that for a number of stocks traded at MICEX (stocks РАО “ЕЭС”, “Лукойл”, “Сургутнефтегаз”) the probability distributions for log-returns of stock’s prices obtained on a basis of the model are in a good agreement with empirical distributions. The parameters of the model have been estimated for every one above stocks. In order to analyzed their, the Heston model has been applied to description of so-called “leverage effect” establishing
a negative correlation between past returns and future volatility. However, as it has appeared, available data do not allow to reveal this effect on the Russian stock market.
Received: 29.12.2004
Citation:
G. L. Buchbinder, K. M. Chistilin, “The description of the Russian stock market within the Heston model”, Matem. Mod., 17:10 (2005), 31–38
Linking options:
https://www.mathnet.ru/eng/mm2802 https://www.mathnet.ru/eng/mm/v17/i10/p31
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Abstract page: | 571 | Full-text PDF : | 237 | References: | 37 | First page: | 1 |
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