Vicente, Renato; Toledo, Charles M. de; Leite, Vitor B. P. - arXiv.org - 2004
We analyse a period spanning 35 years of activity in the Sao Paulo Stock Exchange Index (IBOVESPA) and show that the Heston model with stochastic volatility is capable of explaining price fluctuations for time scales ranging from 5 minutes to 100 days with a single set of parameters. We also...