Tag Info

New answers tagged


VG belongs in the family of variance-mean mixture models. Given a horizon $T$ the distribution of log-returns $f$ is a mixture of Gaussians $f_G$ with randomised mean and variance. The randomisation density is $g$ and its mean and variance increase with $T$. For the VG process this randomised factor is Gamma-distributed. More concretely, denote with ...

Top 50 recent answers are included