%0 Journal Article
%T A contribution to the systematics of stochastic volatility models
%A Frantisek Slanina
%J Quantitative Finance
%D 2010
%I arXiv
%R 10.1016/j.physa.2010.03.044
%X We compare systematically several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail, while the short-time return distribution has generically a stretched-exponential form, but can assume also an algebraic decay, in the family of models which we call ``GARCH''-type. The intermediate regime is found in the exponential Ornstein-Uhlenbeck process. We calculate also the decay of the autocorrelation function of volatility.
%U http://arxiv.org/abs/1009.2696v1