Forecasting volatility with the multifractal random walk model

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dc.creatorDuchon, Jean
dc.creatorRobert, Raoul
dc.creatorVargas, Vincent
dc.date2008-01-28
dc.date.accessioned2026-07-07T12:10:27Z
dc.date.available2026-07-07T12:10:27Z
dc.descriptionWe study the problem of forecasting volatility for the multifractal random walk model. In order to avoid the ill posed problem of estimating the correlation length T of the model, we introduce a limiting object defined in a quotient space; formally, this object is an infinite range logvolatility. For this object and the non limiting object, we obtain precise prediction formulas and we apply them to the problem of forecasting volatility and pricing options with the MRW model in the absence of a reliable estimate of the average volatility and T.
dc.identifierhttps://arxiv.org/abs/0801.4220
dc.identifierhttp://arxiv.org/abs/0801.4220
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209940
dc.subjectStatistical Finance
dc.subjectProbability
dc.subject60G57, 60G15, 60G25, 28A80
dc.titleForecasting volatility with the multifractal random walk model
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