2
$\begingroup$

I am working on a model for stochastic volatility. In short, the model try to capture that the volatility goes up suddenly after a shock (war, policy, financial events, etc) and then goes down slowly, so-called a shot-noise form or a impulse response function form. Now, I want to find some support in empirical data. I have two questions:

  1. According to your experience, which period data correspond this shot-noise phenomena?
  2. What kind of test (auto-correlation, etc) can mathematically show the existence of this feature?
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.